<PAGE> 1
Filed Pursuant to Rule 424(b)(3)
Registration No. 333-61961
SALOMON SMITH BARNEY
GLOBAL DIVERSIFIED FUTURES FUND L.P.
SUPPLEMENT DATED AUGUST 20, 1999
TO THE PROSPECTUS DATED NOVEMBER 25, 1998
(NOT FOR USE AFTER MAY 20, 2000)
SALOMON SMITH BARNEY INC.
<PAGE> 2
SALOMON SMITH BARNEY
GLOBAL DIVERSIFIED FUTURES FUND L.P.
Supplement dated August 20, 1999
to the Disclosure Document dated November 25, 1998
This Supplement amends and updates the Prospectus dated November 25, 1998
(the "Prospectus") for Salomon Smith Barney Global Diversified Futures Fund L.P.
(the "Partnership") and should be read in conjunction therewith. Headings herein
correspond to headings in the Prospectus; page numbers in parentheses refer to
the pages in the Prospectus that are hereby amended or updated.
Between November 25, 1998 (commencement of the initial offering period) and
February 1, 1999, 33,379 Units of limited partnership interest and 337 Unit
equivalents representing the general partner's contribution were sold at $1,000
per unit. The proceeds of the offering were held in an escrow account until
February 2, 1999, at which time they were turned over to the Partnership for
trading. Through June 30, 1999, 22,783 additional Units and 231 Unit equivalents
have been sold.
FEES AND EXPENSES TO THE PARTNERSHIP (PAGE 19)
COMMODITY BROKER/DEALER (PAGE 21)
Effective August 1, 1999, the Partnership pays SSB a brokerage fee of 5.4%
per year (.45% per month of month end Net Assets). Transactions by Campbell are
no longer charged a round turn commission.
BREAK EVEN ANALYSIS (PAGE 22)
The following table is a summary of fees and expenses expressed both as a
dollar amount and as a percentage of a $1,000 investment in the Partnership. See
"Fees and Expenses to the Partnership." The break-even point per Unit (that is,
the trading profit the Partnership must realize in the first year of a limited
partner's investment so that such investment at the end of the year is equal to
its value at the beginning of the year), assuming a limited partner purchases
Units at $1,000 each as of the beginning of the year and redeems its Units at
the end of the first year of its investment, is 6.21%, or $62.05 per Unit
(assuming the estimated Partnership size is $55,000,000), or 5.75%, or $57.47
per Unit (assuming the estimated Partnership size is $100,000,000).
<TABLE>
<CAPTION>
ESTIMATED PARTNERSHIP SIZE
---------------------------
<S> <C> <C>
$55,000,000 $100,000,000
----------- ------------
Selling Price Per Unit(1)........................ $ 1,000.00 $ 1,000.00
----------- ------------
Interest Income Credit(2)........................ $ (33.60) $ (33.60)
Brokerage Fees(3)................................ $ 66.15 $ 66.15
Operating Expenses(4)............................ $ 3.60 $ 2.00
Trading Advisors' Management Fees(5)............. $ 18.60 $ 18.92
Initial Offering Expenses(6)..................... $ 7.30 $ 4.00
Amount of Trading Income Required for the
Partnership's Net Asset Value per Unit at the
End of One Year to Equal the Selling Price per
Unit........................................... $ 62.05 $ 57.47
----------- ------------
Percentage of Selling Price per Unit............. 6.21% 5.75%
=========== ============
</TABLE>
EXPLANATORY NOTES
(1) Units may be purchased at the prevailing Net Asset Value per Unit on a
quarterly basis. The Net Asset Value per Unit as of June 30, 1999 was
$996.55.
(2) The Partnership will earn interest income on 80% of the average daily equity
maintained in the Partnership's cash accounts at a rate equal to the average
yield on the 30-day U.S. Treasury bills issued
2
<PAGE> 3
during each month. For purposes of this analysis, interest income was
estimated at 3.36% of the Partnership's Net Asset Value (assuming an
estimated annual interest rate of 4.20%).
(3) Brokerage fees were estimated at 6.4% (5.4% for brokerage fees and 1.0% for
other trading-related expenses) of Net Assets. Based upon the trading
history of the Partnership, the fee that the Partnership will pay is equal
to approximately $54.00 per round-turn transaction, of which $50.00 is
brokerage commissions and $4.00 is other trading-related fees. In
calculating the brokerage fee, Net Assets equals the equity maintained in
cash at the end of the month plus unrealized gain (loss) on open positions
and accrued interest income for the month.
(4) Operating expenses include periodic legal, accounting, filing and reporting
fees, and the expenses of the continuous offering but do not include
extraordinary expenses. These expenses are expected to amount to $200,000.
This estimate consists of (i) legal expenses of $75,000, (ii) accounting
expenses of $75,000 and (iii) other expenses (such as filing and reporting
fees) of $50,000.
(5) The Partnership's Advisors will be paid management fees of up to 2% of Net
Assets. In calculating the management fee, Net Assets equals the equity
maintained in cash at the end of the month plus unrealized gain (loss) on
open positions and accrued interest income for the month, less the monthly
brokerage fee amount, except that Eagle's management fee was further reduced
by its pro rata share of the Partnership's customary and routine
administrative expenses.
(6) Organizational and offering expenses will initially be borne by SSB. The
Partnership will reimburse SSB for these expenses, which totaled $732,219,
together with interest at the prime rate quoted by the Chase Manhattan Bank,
in 24 equal monthly installments beginning with the end of the month in
which trading commences. As of June 30, 1999, organizational and offering
expenses of $549,890 remained to be reimbursed to SSB.
Each Advisor will also receive an annual incentive fee of 20%, or 23% in
the case of Eagle. These amounts have not been included in the table above
because they are calculated based on New Trading Profits after deducting all of
the Partnership's expenses.
THE GENERAL PARTNER (PAGE 28)
RISK OF COMPUTER SYSTEM FAILURE (YEAR 2000 ISSUE) (PAGE 30)
The Year 2000 issue is the result of existing computers in many businesses
using only two digits to identify a year in the date field. These computers and
programs, often referred to as "information technology," were designed and
developed without considering the impact of the upcoming change in the century.
If not corrected, many computer applications could fail or create erroneous
results at the Year 2000. Such systems and processes are dependent on correctly
identifying dates in the next century.
The General Partner administers the business of the Partnership through
various systems and processes maintained by Salomon Smith Barney Holdings Inc.
("SSBHI") and SSB. In addition, the operation of the Partnership is dependent on
the capability of the Partnership's Advisor, the brokers and exchanges through
which the Partnership trades, and other third parties to prepare adequately for
the Year 2000 impact on their systems and processes. The Partnership itself has
no systems or information technology applications relevant to its operations.
The General Partner, SSB, SSBHI and their parent organization Citigroup
Inc. have undertaken a comprehensive, firm-wide evaluation of both internal and
external systems (systems related to third parties) to determine the specific
modifications needed to prepare for the year 2000. The combined Year 2000
program in SSB is expected to cost approximately $140 million over the four
years from 1996 through 1999, and has involved over 450 people. As of June 30,
1999, SSB has completed all compliance and certification work.
The systems and components supporting the General Partner's business that
require remediation have been brought into Year 2000 compliance. Final testing
and certification was completed as of June 30, 1999.
3
<PAGE> 4
This expenditure and the General Partner's resources dedicated to the
preparation for Year 2000 do not and will not have a material impact on the
operation or results of the Partnership.
The General Partner has received statements from the Advisors that they
have completed their Year 2000 remediation program.
The most likely and most significant risk to the Partnership associated
with the lack of Year 2000 readiness is the failure of outside organizations,
including the commodities exchanges, clearing organizations, or regulators with
which the Partnership interacts to resolve their Year 2000 issues in a timely
manner. This risk could involve the inability to determine the value of the
Partnership at some point in time and would make effecting purchases or
redemptions of Units in the Partnership infeasible until such valuation was
determinable.
SSB has successfully participated in industry-wide testing including: The
Streetwide Beta Testing organized by the Securities Industry Association (SIA),
a government securities clearing test with the Federal Reserve Bank of New York,
The Depository Trust Company, and The Bank of New York, and Futures Industry
Association participants test. The firm also participated in the streetwide
testing that was conducted from March through May 1999.
It is possible that problems may occur that would require some time to
repair. Moreover, it is possible that problems will occur outside SSBHI for
which SSBHI could experience a secondary effect. Consequently, SSBHI has
prepared comprehensive, written contingency plans so that alternative procedures
and a framework for critical decisions are defined before any potential crisis
occurs.
The goal of Year 2000 contingency planning is a set of alternate procedures
to be used in the event of a critical system failure or a failure by a supplier
or counterparty. Planning work was completed in January 1999, and testing of
alternative procedures will be completed in the third and fourth quarters of
1999.
4
<PAGE> 5
PERFORMANCE OF THE PARTNERSHIP
FEBRUARY 2, 1999 (COMMENCEMENT OF TRADING OPERATIONS)
TO JUNE 30, 1999
<TABLE>
<CAPTION>
MONTHLY PERCENTAGE
RATE OF RETURN
------------------
1999
------------------
<S> <C>
January..................................................... --
February.................................................... 1.38%
March....................................................... (1.41)
April....................................................... 2.79
May......................................................... (4.24)
June........................................................ 1.29
July........................................................
August......................................................
September...................................................
October.....................................................
November....................................................
December....................................................
- --------------------------------------------------------------------------------
Annual (or Period) Rate of Return........................... (0.35%)
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Inception of Trading: February 2, 1999
Aggregate Subscriptions: $57,363,000 (6/99)
Current Net Asset Value: $56,537,054 (6/99)
Largest Monthly Percentage Draw-Down: 4.24% (5/99)
Largest Peak-to-Valley Draw-Down: 4.24% (5/99 - 5/99)*
</TABLE>
- ---------------
Notes to this table appear at page 10 herein.
As of June 30, 1999, the General Partner operated or managed 21 other
active commodity pools that are currently trading. The performance of all of
these pools for the past five years and year-to-date period is set forth under
"Other Pools Operated by the General Partner" below.
The statement of financial condition of the General Partner at December 31,
1998 and the report of the independent accountants thereon is set forth
beginning on page 41.
OTHER POOLS OPERATED OR MANAGED BY THE GENERAL PARTNER (PAGE 31)
The General Partner offers other pools whose performance may differ from
the Partnership's. Differences are due to combinations of different trading
advisors (and programs traded) as well as different partnership or
organizational structures. Tables 1, 2 and 3 below set forth the performance of
the other pools which have been operated by the General Partner during the past
five years. Table 1 sets forth the performance of commodity pools currently
operated by the General Partner for the period January 1994 through June 30,
1999. Table 2 sets forth the performance of commodity pools which were
previously operated by the General Partner for the period January 1994 through
June 30, 1999 and which have ceased trading operations as of June 30, 1999.
Table 3 sets forth the performance of commodity pools previously operated by the
General Partner for the period January 1994 through June 30, 1999 for which the
General Partner no longer acts as the pool operator or trading manager as of
June 30, 1999.
The General Partner performs the same administrative duties for each of the
pools that it operates. Each of the funds has as its purpose to profit by
speculation in commodity interests. As of June 30, 1999, each fund currently
operated or managed by the General Partner had a net asset value in excess of
its initial offering amount except Smith Barney Telesis Futures Fund L.P.,
Salomon Smith Barney Orion Futures Fund L.P. and the Partnership.
The General Partner offers other pools which have more than one trading
advisor but whose performance may differ from the Partnership. Differences are
due to combinations of different trading advisors (and programs traded) as well
as different partnership or organizational structures.
5
<PAGE> 6
ADDITIONAL INFORMATION FOR POOLS OPERATED OR MANAGED BY
THE GENERAL PARTNER AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
GENERAL
GENERAL PARTNER
COMMENCEMENT NUMBER OF PARTNER UNITS INITIAL
NAME OF POOL OF TRADING PARTICIPANTS OWNED INVESTMENT
- ------------ ------------ ------------ ------------- ----------
<S> <C> <C> <C> <C>
Select Advisors Futures Fund.............. Jul-87 485 34 $507,000
Hutton Investors Futures Fund II.......... Jul-87 376 44 $314,000
SLB Mid-West Futures Fund................. Dec-91 604 322 $ 25,000
Smith Barney International Advisors
Currency Fund........................... Mar-92 121 8,000 $144,760
Smith Barney Global Markets Futures
Fund.................................... Aug-93 105 108 $ 75,000
Smith Barney Diversified Futures Fund..... Jan-94 5,693 2,049 $781,000
F-1000 Futures Fund Michigan Series I..... May-94 18 110 $110,000
Smith Barney Mid-West Futures Fund II..... Sep-94 850 609 $ 97,000
F-1000 Futures Fund Michigan Series II.... Jun-95 2 207 $207,000
Smith Barney Tidewater Futures Fund(i).... Jul-95 274 178 $ 52,000
Smith Barney Principal Plus Futures
Fund.................................... Nov-95 1,154 376 $376,000
Smith Barney Diversified Futures Fund
II...................................... Jan-96 5,460 1,287 $ 87,000
SB/Michigan Futures Fund.................. Jul-96 2 102 $ 52,000
Smith Barney Principal Plus Futures Fund
II...................................... Aug-96 1,121 203 $203,000
Smith Barney Great Lakes Futures Fund..... Jan-97 2 99 $ 51,000
Smith Barney Westport Futures Fund........ Aug-97 4,378 1,213 $405,000
Smith Barney Potomac Futures Fund(i)...... Oct-97 104 66 $ 17,000
Smith Barney Telesis Futures Fund(i)...... Feb-98 123 136 $ 48,000
Smith Barney AAA Futures Fund............. Mar-98 805 667 $501,000
Salomon Smith Barney Global Diversified
Futures Fund............................ Feb-99 1,606 570 $338,000
Smith Barney Orion Futures Fund(ii)....... Jun-99 142 106 $106,000
</TABLE>
- ---------------
(i) As of March 1, 1999, SFG Global Investments, Inc. became general partner
and commodity pool operator and Smith Barney Futures Management Inc. became
trading manager for these pools.
(ii) SFG Global Investments, Inc. is the general partner and commodity pool
operator and Smith Barney Futures Management Inc. is the trading manager
for this pool.
IT SHOULD NOT BE ASSUMED THAT PARTICIPANTS IN THE PARTNERSHIP WILL
EXPERIENCE RETURNS, IF ANY, COMPARABLE TO THOSE EXPERIENCED BY INVESTORS IN THE
FUNDS. THE RESULTS SET FORTH IN THE TABLES ARE NOT INDICATIVE OF, AND HAVE NO
BEARING ON, ANY RESULTS THAT MAY BE OBTAINED BY THE PARTNERSHIP NOR ARE THE PAST
RESULTS OF SUCH FUNDS A GUARANTEE OF THE FUTURE PERFORMANCE OF THE PARTNERSHIP.
THIS IS DUE IN LARGE PART TO THE FACT THAT THE RESULTS CONTAINED IN THESE TABLES
DERIVE TO AN EXTENT FROM THE UNCERTAIN NATURE AND FUNCTION OF COMMODITIES
MARKETS AS WELL AS THE DIVERGENT TRADING STRATEGIES, POLICIES AND METHODS OF THE
ADVISORS DIRECTING VARIOUS FUNDS.
6
<PAGE> 7
TABLE 1
CAPSULE PERFORMANCE OF OTHER POOLS CURRENTLY OPERATED BY
SMITH BARNEY FUTURES MANAGEMENT INC.
FOR THE PERIOD JANUARY 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
LARGEST MONTHLY
PERCENTAGE LARGEST PEAK-TO-VALLEY
DRAW-DOWN DRAW-DOWN
CURRENT ------------------ ------------------------------
TYPE INCEPTION AGGREGATE TOTAL
OF OF SUBSCRIPTIONS NAV PERCENT PERCENT
NAME OF POOL POOL TRADING $(000) $(000) (%) DATE (%) TIME PERIOD
------------ ---- --------- ------------- ------- ------- ---- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shearson Select
Advisors Futures
Fund............ A Jul-87 50,507 5,339 9.72 (May-97) 22.59 (Aug-93 to Jan-95)
Hutton Investors
Futures
Fund II......... A Jul-87 30,304 23,408 8.17 (Nov-98) 13.66 (Jul-94 to Jan-95)
Shearson Mid-West
Futures Fund.... 1 Dec-91 60,804 59,905 9.18 (May-97) 20.40 (Jan-98 to Jul-98)
Smith Barney
International
Advisors
Currency Fund... A Mar-92 32,312 3,165 5.72 (May-97) 24.08 (Oct-93 to Feb-96)
Smith Barney
Global Markets
Futures Fund.... 1,A Aug-93 20,226 9,025 9.19 (Aug-97) 12.08 (Dec-96 to May-97)
Smith Barney
Diversified
Futures Fund.... A Jan-94 256,901 135,828 8.12 (Feb-96) 14.50 (Jun-95 to Oct-95)
F-1000 Futures
Fund Michigan
Series I........ 1,2,A May-94 10,697 13,518 5.86 (Feb-96) 8.80 (Jun-95 to Oct-95)
Smith Barney
Mid-West Futures
Fund II......... 1 Sep-94 90,217 86,877 9.23 (May-97) 20.66 (Jan-98 to Jul-98)
F-1000 Futures
Fund Michigan
Series II....... 1,2,A Jun-95 20,490 27,075 5.08 (Feb-96) 7.27 (Feb-96 to May-96)
Smith Barney
Tidewater
Futures Fund
(i)............. 1 Jul-95 26,763 22,554 18.24 (Aug-97) 20.81 (Sep-98 to May-99*)
Smith Barney
Principal Plus
Futures Fund.... 2,A Nov-95 37,507 31,333 5.94 (Feb-96) 8.85 (Feb-96 to Aug-96)
Smith Barney
Diversified
Futures Fund
II.............. A Jan-96 161,874 142,138 8.57 (Feb-96) 11.92 (Mar-97 to Jul-98)
SB/Michigan
Futures Fund.... 1,A Jul-96 11,591 14,407 8.67 (Apr-98) 11.77 (Aug-97 to Jul-98)
Smith Barney
Principal Plus
Futures Fund
II.............. 2,A Aug-96 22,581 21,651 5.98 (Aug-97) 7.67 (Aug-97 to Jul-98)
Smith Barney
Great Lakes
Futures Fund.... 1 Jan-97 10,102 10,711 7.62 (Aug-97) 11.82 (Mar-97 to Apr-98)
Smith Barney
Westport Futures
Fund............ Aug-97 118,820 125,784 9.79 (Nov-98) 10.24 (Oct-98 to Nov-98)
Smith Barney
Potomac Futures
Fund (i)........ 1 Oct-97 7,149 7,545 6.35 (Apr-98) 7.58 (Apr-98 to Jul-98)
Smith Barney
Telesis Futures
Fund (i)........ 1 Feb-98 14,506 8,236 7.01 (Oct-98) 19.89 (Oct-98 to May-99*)
Smith Barney AAA
Futures Fund.... 1 Mar-98 68,874 92,569 4.15 (Jun-98) 4.50 (Mar-98 to Apr-98)
Salomon Smith
Barney Global
Diversified
Futures Fund.... A Feb-99 57,363 56,537 4.24 (May-99) 4.24 (May-99 to May-99*)
Salomon Smith
Barney Orion
Futures Fund
(ii)............ 1,A Jun-99 10,610 10,585 0.24 (Jun-99) 0.24 (Jun-99 to Jun-99*)
<CAPTION>
PERCENTAGE ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
----------------------------------------------
NAME OF POOL 1994 1995 1996 1997 1998 1999
------------ ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Shearson Select
Advisors Futures
Fund............ (13.96) 26.91 21.57 13.06 4.10 4.12
Hutton Investors
Futures
Fund II......... (4.66) 41.78 29.11 17.82 11.52 5.29
Shearson Mid-West
Futures Fund.... (8.64) 36.24 26.76 12.95 3.55 4.06
Smith Barney
International
Advisors
Currency Fund... (10.40) (5.04) 22.68 18.51 0.25 1.68
Smith Barney
Global Markets
Futures Fund.... (7.19) 20.91 17.70 4.13 21.58 (2.07)
Smith Barney
Diversified
Futures Fund.... (3.29) 12.86 14.54 3.83 7.65 1.10
F-1000 Futures
Fund Michigan
Series I........ 1.38 14.25 2.79 10.47 10.13 (5.64)
Smith Barney
Mid-West Futures
Fund II......... (7.54) 31.74 26.26 12.72 3.13 4.03
F-1000 Futures
Fund Michigan
Series II....... -- 2.25 9.49 11.61 9.65 (0.17)
Smith Barney
Tidewater
Futures Fund
(i)............. -- (1.25) 7.83 6.12 19.92 (5.34)
Smith Barney
Principal Plus
Futures Fund.... -- 5.75 4.37 10.45 8.97 (3.68)
Smith Barney
Diversified
Futures Fund
II.............. -- -- 12.51 (0.10) 8.48 0.76
SB/Michigan
Futures Fund.... -- -- 18.58 5.90 12.06 1.50
Smith Barney
Principal Plus
Futures Fund
II.............. -- -- 12.97 4.45 15.42 (3.12)
Smith Barney
Great Lakes
Futures Fund.... -- -- -- 2.67 1.81 4.39
Smith Barney
Westport Futures
Fund............ -- -- -- 1.15 8.22 4.71
Smith Barney
Potomac Futures
Fund (i)........ -- -- -- 2.95 8.36 2.50
Smith Barney
Telesis Futures
Fund (i)........ -- -- -- -- (3.24) (9.93)
Smith Barney AAA
Futures Fund.... -- -- -- -- 18.44 19.96
Salomon Smith
Barney Global
Diversified
Futures Fund.... -- -- -- -- -- (0.35)
Salomon Smith
Barney Orion
Futures Fund
(ii)............ -- -- -- -- -- (0.24)
</TABLE>
- ---------------
Notes to follow Table 3
(i) As of March 1, 1999, SFG Global Investments, Inc. became general partner
and commodity pool operator and Smith Barney Futures Management Inc. became
trading manager for these pools.
(ii) SFG Global Investments, Inc. is the general partner and commodity pool
operator and Smith Barney Futures Management Inc. is the trading manager
for this pool.
TYPE OF POOL LEGEND
1 -- Privately Offered
2 -- Principal Protected
3 -- Multi-Advisor
A -- More than one trading advisor but not a multi-advisor pool as that term is
defined in Part 4 of the regulations of the CFTC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
7
<PAGE> 8
TABLE 2
CAPSULE PERFORMANCE OF OTHER POOLS PREVIOUSLY OPERATED BY
SMITH BARNEY FUTURES MANAGEMENT INC.
FOR THE PERIOD JANUARY 1994 THROUGH JUNE 30, 1999
AND WHICH HAVE CEASED TRADING OPERATIONS
AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
LARGEST MONTHLY
PERCENT
DRAW-DOWN
NAV -------------------
TYPE INCEPTION AGGREGATE BEFORE
OF OF TERMINATION SUBSCRIPTION TERMINATION PERCENT
NAME OF POOL POOL TRADING DATE $(000) $(000) (%) DATE
------------ ---- --------- ----------- ------------ ----------- ------- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Commodity
Venture
Fund........... Nov-80 Feb-95 15,153 1,412 11.91 (Jan-94)
Ayco Futures
Fund........... 1 May-88 Jul-94 5,114 161 29.35 (Apr-94)
Parnel Futures
Fund........... 1 Nov-88 Oct-94 2,885 74 19.43 (Feb-94)
F-1000 Guarantee
Futures Fund
IV............. 2 Dec-88 Feb-94 45,692 16,389 5.93 (Jan-94)
F-1000 Futures
Fund VI........ 2 May-90 May-95 32,996 21,805 3.11 (Jul-94)
Peregrine
Futures Fund... A Dec-91 Sep-95 9,767 432 5.39 (Jan-95)
Signet
Partners....... 1,A Jan-93 Feb-95 522 191 4.32 (Feb-94)
Smith Barney
Offshore
Futures Fund... 3,A Aug-93 Aug-94 2,704 1,945 6.50 (Jan-94)
Monetary Venture
Fund........... 1 Feb-87 Apr-96 2,368 164 12.37 (Apr-94)
Shearson Lehman
Futures 1000
Plus........... 2,A May-91 May-96 63,088 40,673 3.00 (Feb-96)
Shearson Hutton
Performance
Partners....... A Jun-89 Dec-97 16,541 1,225 8.12 (Aug-97)
Smith Barney
Newport Futures
Fund........... 1 Dec-96 Oct-98 26,110 7,897 17.43 (Mar-98)
F-1000 Futures
Fund Series
VIII........... 2,A Aug-92 Nov-98 36,000 7,679 3.84 (Feb-96)
F-1000 Futures
Fund Series
IX............. 2,A Mar-93 May-99 24,005 4,857 4.26 (Feb-96)
<CAPTION>
LARGEST PEAK-TO-VALLEY
DRAW-DOWN
--------------------------------- PERCENTAGE ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
PERCENT -----------------------------------------------
NAME OF POOL (%) TIME PERIOD 1994 1995 1996 1997 1998 1999
------------ ------- ----------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Commodity
Venture
Fund........... 39.53 (Jan-92 to Feb-95*) (26.37) (8.44) -- -- -- --
Ayco Futures
Fund........... 78.99 (Jul-89 to Apr-94*) (45.77) -- -- -- -- --
Parnel Futures
Fund........... 38.09 (Jan-94 to Apr-94*) (28.79) -- -- -- -- --
F-1000 Guarantee
Futures Fund
IV............. 7.22 (Jan-94 to Feb-94*) (7.22) -- -- -- -- --
F-1000 Futures
Fund VI........ 8.58 (Jul-94 to Jan-95) (2.43) 18.61 -- -- -- --
Peregrine
Futures Fund... 32.04 (Jul-93 to Apr-94*) 5.91 (3.05) -- -- -- --
Signet
Partners....... 4.32 (Feb-94 to Feb-94) 53.32 (0.36) -- -- -- --
Smith Barney
Offshore
Futures Fund... 6.50 (Jan-94 to Jan-94) 2.68 -- -- -- -- --
Monetary Venture
Fund........... 37.41 (Jan-92 to Jan-95*) (27.47) 32.05 5.76 -- -- --
Shearson Lehman
Futures 1000
Plus........... 11.16 (Aug-93 to Jan-95) (6.41) 12.79 1.59 -- -- --
Shearson Hutton
Performance
Partners....... 24.12 (Aug-93 to Jan-95) (10.59) 18.04 2.42 (10.12) -- --
Smith Barney
Newport Futures
Fund........... 65.58 (Mar-97 to Oct-98*) -- -- 7.34 (21.84) (54.09)
F-1000 Futures
Fund Series
VIII........... 12.22 (Sep-93 to Oct-94) (10.41) 12.69 3.96 3.15 6.28 --
F-1000 Futures
Fund Series
IX............. 8.41 (Jun-95 to Oct-95) (4.13) 12.89 3.51 8.87 7.12 (0.96)
</TABLE>
- ---------------
Notes follow Table 3
TYPE OF POOL LEGEND
1 -- Privately Offered
2 -- Principal Protected
3 -- Offshore
4 -- Multi-Advisor
A -- More than one trading advisor but not a multi-advisor pool as that term is
defined in Part 4 of the regulations of the CFTC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
8
<PAGE> 9
TABLE 3
CAPSULE PERFORMANCE OF OTHER POOLS PREVIOUSLY OPERATED BY
SMITH BARNEY FUTURES MANAGEMENT INC.
FOR THE PERIOD JANUARY 1994 THROUGH JUNE 30, 1999
AND FOR WHICH SMITH BARNEY FUTURES MANAGEMENT INC. NO LONGER ACTS
AS COMMODITY POOL OPERATOR AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
LARGEST MONTHLY
PERCENT LARGEST PEAK-TO-VALLEY
DRAW-DOWN DRAW-DOWN
NAV ------------------ ----------------------------
TYPE INCEPTION AGGREGATE BEFORE
OF OF TRANSFER SUBSCRIPTIONS TRANSFER PERCENT PERCENT
NAME OF POOL POOL TRADING DATE $(000) $(000) (%) DATE (%) TIME PERIOD
------------ ---- --------- -------- ------------- -------- ------- ---- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Commodity Trend
Timing Fund.... Jan-80 May-95 16,625 1,275 14.67 (Feb-94) 54.35 (Aug-93 to Feb-95*)
Commodity Trend
Timing Fund
II............. Dec-82 Apr-95 34,428 1,412 14.48 (Feb-94) 54.67 (Aug-93 to Feb-95*)
Harbourer
Futures Fund... 3 May-93 Dec-94 25,003 12,657 5.10 (Feb-94) 5.10 (Feb-94 to Feb-94)
Greenbrier
Futures Fund... 1 Jul-92 Dec-96 24,678 26,716 10.23 (Aug-94) 15.48 (Aug-94 to Jun-95)
<CAPTION>
PERCENTAGE ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
--------------------------------------------------
NAME OF POOL 1994 1995 1996 1997 1998 1999
------------ ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Commodity Trend
Timing Fund.... (50.55) (5.08) -- -- -- --
Commodity Trend
Timing Fund
II............. (50.43) (6.86) -- -- -- --
Harbourer
Futures Fund... 39.20 -- -- -- -- --
Greenbrier
Futures Fund... 16.74 (1.09) 17.60 -- -- --
</TABLE>
- ---------------
Notes follow Table
TYPE OF POOL LEGEND
1 -- Privately Offered
2 -- Principal Protected
3 -- Offshore
4 -- Multi-Advisor
A -- More than one trading advisor but not a multi-advisor pool as that term is
defined in Part 4 of the regulations of the CFTC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
9
<PAGE> 10
NOTES TO TABLES 1, 2 AND 3 AND THE PARTNERSHIP'S TABLE
POOLS OPERATED BY SMITH BARNEY FUTURES MANAGEMENT INC.
(a) "Draw-Down" is defined as losses experienced by a pool over a specified
period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by
the pool in any calendar month expressed as a percentage of the total equity in
the pool and includes the month and year of such draw-down.
(c) "Largest Peak-to-Valley Draw-Down" is the greatest cumulative
percentage decline in month end net asset value (regardless of whether it is
continuous) due to losses sustained by the pool during a period in which the
initial month-end net asset value of such draw-down is not equaled or exceeded
by any subsequent month's ending net asset value. The months and year(s) of such
decline from the initial month-end net asset value to the lowest month-end net
asset value are indicated. In the case where the pool is in a current draw-
down, or was in a current draw-down at the termination or transfer date, the
month of the lowest net asset value of such draw-down is disclosed followed by
an asterisk (*).
For purposes of the Largest Peak-to-Valley Draw-Down calculation, any
peak-to-valley draw-down which began prior to the beginning of the five most
recent calendar year period is deemed to have occurred during such five calendar
year period.
(d) "Annual (Year to Date) Rate of Return" is calculated by compounding the
Monthly ROR (as described below) over the months in a given year, i.e., each
Monthly ROR, in hundredths, is added to one (1) and the result is multiplied by
the subsequent Monthly ROR similarly expressed. One is then subtracted from the
product and the result is multiplied by one hundred (100).
Monthly rate of return ("Monthly ROR") is calculated by dividing each
month's net performance by the corresponding beginning net asset value adjusted
for time-weighted additions or time-weighted withdrawals.
10
<PAGE> 11
THE ADVISORS
As of June 30, 1999, the Partnership's assets were allocated in the
following approximate percentages: Campbell -- 37%; Eagle -- 19% (13% to Eagle
Global and 6% to Eagle FX); Eckhardt -- 10%; and Rabar -- 34%.
The contracts traded in the Advisors' programs as of June 30, 1999 are:
LONG TERM
INTEREST RATES
US
Treasury Notes (5-Year)
Treasury Notes (10-Year)
Treasury Notes (30-Year)
Muni Bonds
Canada
Canadian 10-Year Bonds
Europe
Eurex 5 YR BOBL
Eurex 2 YR Bond
Eurex 10 YR Bond
UK Long Gilt
Italian Government Bond
(BTP)
Matif Notional Eurobond
Spanish 10-Year Bond
Asia/Pacific
Australian Bond (3-Year)
Australian Bond (10-Year)
Japanese Government Bond
STOCK INDICES
S&P 500 Mini Index
S&P 500 Index
London FT-SE
Dow Jones
NASDAQ
Taiwan
OM Index
DAX (Germany)
CAC-40 (France)
Spanish Stock Index
All Ordinaries Index
(Australia)
Hang Seng Index
(Hong Kong)
Nikkei Index (Japan)
MIB 30
SHORT TERM
INTEREST RATES
US
Eurodollar
Europe
Short Sterling
Euroswiss
Euribor
Canada
Canadian Banker's
Acceptance Notes
Canadian 90-Day
Asia/Pacific
Euroyen
Australian Bank Bills
Australian 90-Day
CURRENCIES
US/Americas
Dollar Index
Canadian Dollar
Mexican Peso
Europe
British Pound
Norwegian Krone
Swedish Krona
Swiss Franc
Euro
Asia/Pacific
Australian Dollar
Hong Kong Dollar
Japanese Yen
New Zealand Dollar
Singapore Dollar
Africa
South African Rand
CURRENCY CROSS RATES
British Pound/Japanese Yen
British Pound/Swiss Franc
Euro/Swiss Franc
Swiss Franc/Japanese Yen
Swedish Krona/Danish
Krone
Canadian Dollar/Japanese
Yen
Australian Dollar/Japanese
Yen
Euro/Japanese Yen
Euro/British Pound
AGRICULTURE
Grains/Oilseed
Soybeans
Soybean Oil
Soybean Meal
Corn
Chicago Wheat
KC Wheat
Minneapolis Wheat
Softs
Coffee
Cocoa
Orange Juice
Sugar
Cotton
Livestock
Lean Hogs
METALS
Precious
Gold
Silver
Base
Aluminum
Copper
Lead
Tin
Nickel
Zinc
ENERGY
Gas Oil
Natural Gas
Heating Oil
Unleaded Gas
Crude Oil (Brent)
Crude Oil (West Texas)
Table A-1 and, where applicable, Table A-2, for each Advisor include the
performance of each program or portfolio that the Advisor currently uses to
trade the Partnership's account. In the case of Campbell, Table A-1 (Financial,
Metal & Energy Large Portfolio) presents the actual performance of accounts
traded pursuant to that method for the period covered by the table. In the case
of Eagle, Table A-1 (Eagle-Global System) and Table A-2 (Eagle-FX System)
present the actual performance of accounts traded pursuant to those systems for
the periods covered by the tables. In the case of Eckhardt, Table A-1 (Global
Financial Program) presents the actual performance of accounts traded pursuant
to that method for the period covered by the table. In the case of Rabar, Table
A-1 (Diversified Program) presents the actual performance of accounts traded
pursuant to that method for the period covered by the table.
Table B-1 and, where applicable, Table B-2 for each Advisor were prepared
by the General Partner and set forth the results of each program or portfolio
that the Advisor will use for the Partnership's account for the period January
1994 (October 1995 in the case of Eagle's Global System and November 1997 in the
case of Eckhardt's Global Financial Program) through June 30, 1999, adjusted for
all Advisors to take into account the brokerage, management and incentive fees
and other expenses (including expenses of the initial offering)
11
<PAGE> 12
to be paid by the Partnership and interest to be earned by the Partnership.
Partnership interest was estimated using historical 30-day Treasury bill rates
of the time period presented on Table B-1 and B-2. Such rates may be higher than
current 30-day Treasury bill rates that will be used to calculate Partnership
interest income. The application of historical rates may compare more closely to
the Advisors' interest income which was most likely earned at the then
prevailing interest rates of a particular time period. Performance beginning
with February 1999 (inception of Partnership trading) is based upon the actual
trading results of each respective Advisor's program as traded for the
Partnership.
Table C appears at page 38.
As of June 30, 1999, the aggregate funds under management by the Advisors
were $2.8 billion (excluding notional funds) and $2.9 billion (including
notional funds).
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
CAMPBELL & COMPANY, INC. (PAGE 40)
Campbell has traded its FM&E Large Portfolio on behalf of the Partnership
since inception.
MARKET SECTORS (PAGE 43)
Distribution of markets traded by volatility weighting:
<TABLE>
<CAPTION>
FM&E-LARGE
----------
<S> <C>
Currencies.................................................. 36.0%
Interest rates.............................................. 31.0%
Stock indices............................................... 19.0%
Base metals................................................. 3.5%
Precious metals............................................. .5%
Energy...................................................... 10.0%
Total.................................................. 100.0%
</TABLE>
PERFORMANCE OF CAMPBELL & COMPANY, INC.
Table A-1 reflects the composite capsule performance results of all
accounts traded according to the Financial, Metal & Energy Large Portfolio of
Campbell for the period January 1994 through June 30, 1999.
Table A-2 reflects the composite capsule performance results of all other
trading programs directed by Campbell for the time periods indicated on the
table.
12
<PAGE> 13
TABLE A-1
CAMPBELL & COMPANY, INC.
FINANCIAL, METAL & ENERGY LARGE PORTFOLIO
JANUARY 1, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
---------------------------------------------------
1999 1998 1997 1996 1995 1994
----- ----- ----- ----- ----- ------
<S> <C> <C> <C> <C> <C> <C>
January................................... (4.83) 3.25 5.26 5.46 (4.53) (4.67)
February.................................. 1.45 (2.38) 2.26 (5.63) 5.85 (6.81)
March..................................... 0.87 4.95 (2.08) 5.62 9.58 7.00
April..................................... 5.60 (5.88) (3.84) 3.49 2.08 (1.77)
May....................................... (3.25) 4.34 (1.84) (1.71) 0.88 (2.78)
June...................................... 4.63 2.04 2.23 1.29 (0.90) 5.24
July...................................... (3.68) 9.27 0.01 (4.05) (4.36)
August.................................... 9.23 (5.14) 1.78 5.83 (3.79)
September................................. 2.97 4.23 2.47 (3.47) 6.91
October................................... 4.41 2.39 12.06 1.20 0.36
November.................................. (0.50) 0.57 12.22 (0.24) (7.02)
December.................................. 0.64 4.95 (4.29) 6.82 (5.08)
- -----------------------------------------------------------------------------------------------
Annual (or Period) Rate of Return......... 4.11% 20.07% 18.75% 35.96% 19.46% (16.76%)
- -----------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/94 -- 6/30/99) 13.50%
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Inception of Trading by CTA: January 1972
Inception of Trading in Program: April 1983
Number of Open Accounts as of June 30, 1999: 7
Aggregate Assets (Excluding "Notional" Equity)
in all Programs: $1,559,703,785 (6/99)
Aggregate Assets (Including "Notional" Equity)
in all Programs: $1,594,247,244 (6/99)
Aggregate Assets (Excluding "Notional" Equity)
in Program: $1,286,812,295 (6/99)
Aggregate Assets (Including "Notional" Equity)
in Program: $1,301,665,874 (6/99)
Largest Monthly Draw-Down: 7.02% (11/94)
Largest Peak-to-Valley Draw-Down: 31.76% (8/93 -- 1/95)
</TABLE>
- ---------------
Notes follow Table A-2
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
13
<PAGE> 14
TABLE A-2
OTHER TRADING PROGRAMS DIRECTED BY CAMPBELL & COMPANY, INC.
FOR THE PERIOD JANUARY 1, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
ASSETS ASSETS
INCEPTION NUMBER IN PROGRAM IN PROGRAM LARGEST
OF OF JUNE 1999 JUNE 1999 LARGEST PEAK-TO-
TRADING OPEN (EXCLUDING (INCLUDING MONTHLY VALLEY
NAME OF PROGRAM PROGRAM ACCOUNTS NOTIONAL) NOTIONAL) DRAW-DOWN DRAW-DOWN
- --------------- --------- ----------- ----------- ----------- -------------- --------------------
<S> <C> <C> <C> <C> <C> <C>
Financial, Metal &
Energy Small
Portfolio........... Feb-95 41 $130,484,433 $140,751,568 5.99% (4/98) 7.61% (2/97-5/97)
Global Diversified
Large Portfolio..... Jan-72 1 $103,392,163 $103,392,163 8.45% (2/94) 26.05% (7/93-2/94)
Global Diversified
Small Portfolio..... Jun-97 8 $15,359,025 $ 16,434,025 5.92% (4/98) 5.92% (4/98-4/98)
Foreign Exchange
Portfolio........... Nov-90 4 $ 8,600,229 $ 16,600,229 11.66% (11/94) 44.73% (7/93-1/95)
Interest Rates, Stock
Indices and
Commodities ("ISC")
Portfolio........... Feb-96 1 $ 12,383,002 $ 12,383,002 6.75 (10/98) 9.94% (12/96-4/97)
The Ark Portfolio.... Sep-96 14 $ 2,676,638 $ 3,020,383 11.86% (7/98) 11.86% (7/98-7/98)
Diversified
Portfolio........... Jan-72 N/A-Closed N/A-Closed N/A-Closed 10.44% (2/94) 32.10% (7/93-2/94)
Global Financial
Portfolio........... Dec-93 N/A-Closed N/A-Closed N/A-Closed 5.24% (2/94) 19.20% (12/93-1/95)
<CAPTION>
PERCENTAGE RATE OF RETURN (COMPUTED ON A COMPOUNDED MONTHLY BASIS)
--------------------------------------------------------------------
NAME OF PROGRAM 1999 1998 1997 1996 1995 1994
- --------------- ---------- ------ ---------- ----------- ----------- -----
<S> <C> <C> <C> <C> <C> <C>
Financial, Metal &
Energy Small
Portfolio........... 5.01 22.22 17.30 37.83 20.34
(6 months) (11 months)
Global Diversified
Large Portfolio..... 2.67 12.47 14.95 26.78 6.52 9.61
(6 months)
Global Diversified
Small Portfolio..... 1.18 17.50 13.85 -- -- --
(6 months) (7 Months)
Foreign Exchange
Portfolio........... 2.46 4.25 18.19 43.04 26.36 (21.19)
(6 months)
Interest Rates, Stock
Indices and
Commodities ("ISC")
Portfolio........... 3.95 27.08 20.52 25.73 -- --
(6 months) (11 Months)
The Ark Portfolio.... 23.75 2.48 20.49 19.94 -- --
(6 months) (4 Months)
Diversified
Portfolio........... -- -- -- -- (4.21) 8.52
Global Financial
Portfolio........... -- -- -- -- 9.30 (13.16)
</TABLE>
- ---------------
Notes follow Table
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
14
<PAGE> 15
CAMPBELL
NOTES TO TABLES A-1 AND A-2
For the Global Diversified Small Portfolio, the Diversified Portfolio, the
Financial, Metal and Energy Small Portfolio, the Ark Portfolio and the Foreign
Exchange Portfolio, Campbell has adopted the "Fully Funded Subset" method of
computing rate of return and performance disclosure, referred to as the "Fully
Funded Subset" method, pursuant to an Advisory (the "Fully Funded Subset
Advisory") published by the CFTC. The Fully Funded Subset refers to that subset
of accounts included in the applicable composite which is funded entirely by
actual funds (as defined in the Advisory).
To qualify for the use of the Fully Funded Subset method, the Fully Funded
Subset Advisory requires that certain computations be made in order to arrive at
the Fully Funded Subset and that the accounts for which performance is so
reported meet two tests which are designed to provide assurance that the Fully
Funded Subset and the resultant rates of return are representative of the
trading program. Campbell has performed these tests for the periods presented.
(a) "Draw-Down" is defined as losses experienced by an account over a
specified period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by
the portfolio on a composite basis in any calendar month expressed as a
percentage of the total equity in the portfolio and includes the month and year
of such draw-down. A small number of accounts in the portfolio composites have
experienced monthly drawdowns which are materially larger than the largest
composite monthly drawdown. These variances result from such factors as small
account size (i.e., accounts with net assets of less than the $500,000
prescribed portfolio minimum, which therefore trade fewer contracts than the
standard portfolio), intra-month account opening or closing, significant
intra-month additions or withdrawals, trading commissions in excess of the
stated average and investment restrictions imposed by the client.
(c) "Largest Peak-to-Valley Draw-Down" is the largest cumulative loss
experienced by the portfolio on a composite basis in any consecutive monthly
period on a compounded basis and includes the time frame of such drawdown. A
small number of accounts in the portfolio composites have experienced
peak-to-valley drawdowns which are materially larger than the largest composite
peak-to-valley drawdown. These variances result from such factors as small
account size (i.e., accounts with net assets of less than the $500,000
prescribed portfolio minimum, which therefore trade fewer contracts than the
standard portfolio), intra-month account opening or closing, significant
intra-month additions or withdrawals, trading commissions in excess of the
stated average and investment restrictions imposed by the client.
For purposes of the Largest Peak-to-Valley Draw-Down calculation, any
draw-down which began prior to the beginning of the five most recent calendar
year period is deemed to have occurred during such five calendar year period.
(d) "Annual (or Period) Rate of Return" is calculated by compounding the
Monthly ROR (as described below) over the months in a given year, i.e., each
Monthly ROR, in hundredths, is added to one (1) and the result is multiplied by
the subsequent Monthly ROR similarly expressed. One is then subtracted from the
product and the result is multiplied by one hundred (100). The Compound Average
Annual Rate of Return is similarly calculated except that before subtracting one
(1) from the product, the product is exponentially changed by the factor of one
(1) divided by the number of years in the performance summary and then one (1)
is subtracted. The Compound Average Annual Rate of Return appears in Table A-1.
Monthly Rate of Return (Monthly ROR) for the Global Diversified Large
Portfolio, the Financial, Metal & Energy Large Portfolio, the Interest Rate,
Stock Indices and Commodities Portfolio and the Global Financial Portfolio is
calculated using the OAT method of computation. This computation method is one
of the methods approved by the CFTC to reduce the distortion caused by
significant additions or withdrawals of capital during a month. The OAT method
excludes from the calculation of rate of return those accounts which had
material intra-month additions or withdrawals and accounts which were open for
only part of the month. In this way, the composite rate of return is based on
only those accounts whose Monthly ROR is not distorted by intra-month changes.
15
<PAGE> 16
In this Monthly ROR calculation, accounts are excluded from both net
performance and beginning equity if their inclusion would materially distort the
Monthly ROR. The excluded accounts include (1) accounts for which there has been
a material addition or withdrawal during the month, (2) accounts which were open
for only part of the month or (3) accounts which had no open positions during
the month due to the intention of permanently closing the account. Such accounts
were not charged with material nonrecurring costs during the month.
Monthly ROR for the Diversified Portfolio, Foreign Exchange Portfolio,
Financial, Metal and Energy Small Portfolio, Global Diversified Small Portfolio
and Ark Portfolio is calculated by dividing net performance of the Fully Funded
Subset by the beginning equity of the Fully Funded Subset, except in periods of
significant additions to or withdrawals from the accounts which are in the Fully
Funded Subset. In such instances, the Fully Funded Subset is adjusted to exclude
accounts with significant additions or withdrawals which would materially
distort the rate of return calculated pursuant to the Fully Funded Subset
method.
ADDITIONAL FOOTNOTE FOR THE FINANCIAL, METALS & ENERGY LARGE PORTFOLIO AND THE
FINANCIAL, METALS & ENERGY SMALL PORTFOLIO
Currently, two versions of the Financial, Metals & Energy Portfolio are
offered: the Financial, Metals & Energy Large Portfolio ("FME Large"), and the
Financial, Metals & Energy Small Portfolio ("FME Small"). The FME Large
Portfolio is appropriate for accounts greater than $10 million in size. Accounts
in this portfolio trade certain contracts in the cash markets which do not have
futures equivalents. Prior to February 1995, all Financial, Metals & Energy
accounts were traded together in the FME Large Portfolio. The FME Small
Portfolio began in February 1995, when accounts smaller than $10 million were
transferred from the FME Large to the FME Small Portfolio.
ADDITIONAL FOOTNOTE FOR THE GLOBAL DIVERSIFIED PORTFOLIO AND DIVERSIFIED
PORTFOLIO
As of February 1, 1995, all accounts in the Diversified Portfolio
transferred to the Global Diversified Portfolio. The Diversified Portfolio is no
longer offered as a trading program.
Currently, two versions of the Global Diversified Portfolio are offered:
the Global Diversified Large Portfolio ("GD Large") and the Global Diversified
Small Portfolio ("GD Small"). The GD Large Portfolio is appropriate for accounts
greater than $10 million in size. Accounts in this portfolio trade certain
contracts in the cash markets which do not have futures equivalents. Prior to
June 1997, all Global Diversified accounts were traded in the GD Large
Portfolio. The GD Small Portfolio began in June 1997, when accounts smaller than
$10 million were transferred from the GD Large Portfolio to the GD Small
Portfolio.
16
<PAGE> 17
TABLE B-1
CAMPBELL & COMPANY INC.
ACTUAL AND PRO FORMA PERFORMANCE
FINANCIAL, METAL & ENERGY LARGE PORTFOLIO
JANUARY 1, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
------------------------------------------------------------
ACTUAL
PERFORMANCE(I) PRO FORMA PERFORMANCE(II)
-------------- ------------------------------------------
1999 1998 1997 1996 1995 1994
-------------- ----- ----- ----- ----- ------
<S> <C> <C> <C> <C> <C> <C>
January............................ (5.35) 2.68 4.61 4.72 (4.92) (5.14)
February........................... (0.06) (2.88) 1.77 (6.44) 4.76 (7.16)
March.............................. 0.93 4.49 (2.37) 5.06 8.79 6.56
April.............................. 4.65 (5.66) (3.45) 2.92 1.41 (2.40)
May................................ (3.68) 3.98 (2.43) (2.29) 0.14 (3.19)
June............................... 4.81 1.35 1.66 0.73 (1.63) 4.82
July............................... -- (3.84) 8.25 (0.55) (4.74) (4.82)
August............................. -- 8.25 (5.47) 1.22 5.10 (3.89)
September.......................... -- 2.45 3.61 1.94 (4.12) 6.39
October............................ -- 4.01 1.83 12.72 0.44 (0.13)
November........................... -- (0.86) 0.16 11.28 (0.91) (7.36)
December........................... -- 0.26 4.33 (4.48) 6.09 (5.60)
- -------------------------------------------------------------------------------------------------
Annual (or Period) Rate of
Return........................... 0.86% 14.22% 12.30% 28.20% 9.72% (21.00%)
- -------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/1/94 -- 6/30/99) 6.82%
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Largest Monthly Draw-Down:
Past Five Years and Year to Date Period................... 7.36% (11/94)
For the Period February 1999 through June 1999............ 3.68% (5/99)
Largest Peak-to-Valley Draw-Down:
Past Five Years and Year to Date Period................... 24.88% (1/94 -- 1/95)
For the Period February 1999 through June 1999............ 3.68% (5/99 -- 5/99)
</TABLE>
- ---------------
Notes appear at Page 36
(i) Represents the actual performance of this program as traded for the
Partnership for the period February 2, 1999 (inception of trading) through
June 30, 1999.
(ii) Represents pro forma performance based upon the advisor's composite
performance See Notes to Table B.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
17
<PAGE> 18
EAGLE TRADING SYSTEMS INC. (PAGE 50)
On January 1, 1999 with the implementation of the European Monetary Union,
the list of currencies traded by the Eagle FX System was modified. Eagle FX
stopped initiating trades in French Franc, Italian Lira, Austrian Schilling,
Dutch Guilder, Belgian Franc, Danish Krone and Finnish Marrka because they were
folded into the Euro currency. The tracking, trading and risk exposure in
European currencies will be initiated through the following currencies: Euro or
Deutche Mark (depending on liquidity and interbank quotation), Swiss Franc,
British Pound, Norwegian Krone and Swedish Krone. Eagle may change the list of
currencies traded for the Partnership with the approval of the General Partner.
The Eagle World Assets program began in January 1999. The program follows
and may participate in the futures markets for stock indices and the government
bonds of the U.S., U.K., Germany and Japan. The program is structured primarily
to have a long exposure to the global equity markets; the magnitude, timing and
diversity of which are determined by market conditions and money management
rules.
Based on actual 1998 trading, the volume of trading by market sector for
the blended portfolio traded by Eagle is expected to be:
<TABLE>
<S> <C>
Foreign currencies.......................................... 33.5%
Interest rates.............................................. 43.3%
Stock indices............................................... 1.9%
Agricultural products....................................... 6.3%
Energy complex.............................................. 10.3%
Metals...................................................... 4.7%
Total.................................................. 100.0%
</TABLE>
PAST PERFORMANCE OF EAGLE TRADING SYSTEMS INC. (PAGE 52)
Table A-1 reflects the composite capsule performance results of all
accounts traded according to the Eagle-Global System for the period October 1995
through June 30, 1999.
Table A-2 reflects the composite capsule performance results of all
accounts traded according to the Eagle-FX System for the period January 1994
through June 30, 1999.
Table A-3 reflects the composite capsule performance results of all other
trading programs directed by Eagle for the time periods indicated on the table.
18
<PAGE> 19
TABLE A-1
EAGLE TRADING SYSTEMS, INC.
EAGLE-GLOBAL SYSTEM
OCTOBER 1995* THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
-------------------------------------------
1999 1998 1997 1996 1995
----- ----- ------ ------ -----
<S> <C> <C> <C> <C> <C>
January.......................................... 0.21 8.29 5.05 8.90 --
February......................................... (0.42) (0.10) 5.40 (13.14) --
March............................................ (0.96) 3.89 (11.80) (0.94) --
April............................................ 0.85 (1.33) 1.94 5.78 --
May.............................................. (2.73) 11.12 (4.23) (10.04) --
June............................................. 1.62 (1.79) 0.88 1.34 --
July............................................. (6.17) 16.95 (12.73) --
August........................................... 20.17 (5.57) 5.14 --
September........................................ 6.04 10.72 18.64 --
October.......................................... (2.40) (7.33) 27.67 0.55
November......................................... 1.70 1.05 8.14 2.36
December......................................... 1.38 9.17 (7.71) (2.44)
- ----------------------------------------------------------------------------------------------
Annual (or Period) Rate of Return................ (1.48%) 45.61% 20.23% 25.34% 0.41%
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
Compound Average Annual Rate of Return (10/95 -- 6/30/99) 22.96%
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Inception of Trading by CTA: August 1993 (All trading for Eagle)
Inception of Trading in Program*: August 1995
Number of Open Accounts as of June 30, 1999 15
Aggregate Assets (Excluding "Notional" Equity) in all
Programs: $686,081,017 (6/99)
Aggregate Assets (Including "Notional" Equity) in all
Programs: $732,598,446 (6/99)
Aggregate Assets (Excluding "Notional" Equity) in Program: $281,081,736 (6/99)
Aggregate Assets (Including "Notional" Equity) in Program: $315,274,433 (6/99)
Largest Monthly Draw-Down*: 13.14% (2/96)
Largest Peak-to-Valley Draw-Down: 27.59% (2/96-7/96)
</TABLE>
* Inception of trading in program was in August 1995. October 1995 is the date
this program became eligible to use the Fully Funded Subset Method to compute
Rate of Return. The largest monthly draw-down including the period August 1995
and September 1995 was 14.29%. The rates of return based upon the accounts'
actual account sizes appear in the "Notes to Tables A-1, A-2 and A-3."
- ---------------
Notes follow Table A-3
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
19
<PAGE> 20
TABLE A-2
EAGLE TRADING SYSTEMS, INC.
EAGLE-FX SYSTEM
JANUARY 1, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
-----------------------------------------------------
1999 1998 1997 1996 1995 1994
----- ------ ----- ----- ------ ------
<S> <C> <C> <C> <C> <C> <C>
January................................. (2.27) (2.34) 8.69 10.94 (0.58) (8.62)
February................................ 10.83 0.15 10.93 (5.10) 15.48 (6.15)
March................................... 1.68 (1.08) (0.67) 13.26 17.30 (0.37)
April................................... 5.76 (11.97) 4.49 4.75 2.08 1.08
May..................................... (4.36) 3.20 0.32 (3.57) (10.96) (3.65)
June.................................... (6.41) (4.32) (0.93) (1.22) (1.93) 11.48
July.................................... (0.15) 15.45 (3.63) (2.16) 4.02
August.................................. 1.92 (2.53) (0.92) 1.40 (16.13)
September............................... 0.81 (1.72) 11.75 (0.96) 1.57
October................................. (2.91) (2.38) 5.99 (0.30) 10.33
November................................ (1.88) (0.61) 2.78 (2.54) (12.92)
December................................ (1.87) 1.41 2.24 (9.66) 1.09
- -----------------------------------------------------------------------------------------------
Annual (or Period) Rate of Return....... 4.26% (19.35%) 35.34% 41.40% 3.54% (20.16%)
- -----------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/94-6/30/99) 5.33%
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Inception of Trading by CTA: August 1993 (All trading for Eagle)
Inception of Trading in Program: August 1993 (Eagle FX traded exclusively by Eagle)
Number of Open Accounts as of June 30, 1999: 11
Aggregate Assets (Excluding "Notional" Equity) in all
Programs: $688,081,017 (6/99)
Aggregate Assets (Including "Notional" Equity) in all
Programs: $732,598,446 (6/99)
Aggregate Assets (Excluding "Notional" Equity) in Program: $ 96,722,806 (6/99)
Aggregate Assets (Including "Notional" Equity) in Program: $109,047,538 (6/99)
Largest Monthly Draw-Down: 16.13% (8/94)
Largest Peak-to-Valley Draw-Down: 25.71% (8/97-1/99)
</TABLE>
- ---------------
Notes follow Table A - 3
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
20
<PAGE> 21
TABLE A-3
OTHER TRADING PROGRAMS DIRECTED BY EAGLE TRADING SYSTEMS, INC.
FOR THE PERIOD JANUARY, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
INCEPTION NUMBER ASSETS ASSETS LARGEST
OF OF IN PROGRAM IN PROGRAM LARGEST PEAK-TO-
TRADING OPEN JUNE 1999 JUNE 1999 MONTHLY VALLEY
NAME OF PROGRAM PROGRAM ACCOUNTS (INCLUDING NOTIONAL) (EXCLUDING NOTIONAL) DRAW-DOWN DRAW-DOWN
--------------- --------- -------- -------------------- -------------------- ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Eagle System......... Aug-93(1) 6 $245,308,035 $245,308,035 19.42% (2/96) 28.09%
(2/96-7/96)
Eagle World Assets... Jan-99 5 $ 62,968,440 $ 62,968,440 3.59% (2/99) 3.59%
(2/99-2/99)
<CAPTION>
PERCENTAGE RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
-------------------------------------------------
NAME OF PROGRAM 1999 1998 1997 1996 1995 1994
--------------- --------- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
Eagle System......... (0.42) 57.54 26.59 17.88 72.74 29.13
(6 months)
Eagle World Assets... 7.09 -- -- -- -- --
(6 months)
</TABLE>
- ---------------
Notes follow Table
(1) August 1993 (Eagle System trading exclusively by Eagle)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
21
<PAGE> 22
EAGLE TRADING SYSTEMS INC.
NOTES TO TABLES A-1, A-2 AND A-3
In the preceding performance summary, Eagle has adopted a method of
computing rate of return and performance disclosure, referred to as the
"Fully-Funded Subset" method, pursuant to an Advisory (the "Fully Funded Subset
Advisory") published by the Commodity Futures Trading Commission. The Fully
Funded Subset refers to that subset of accounts included in the applicable
composite which if funded entirely by actual funds (as defined in the Advisory).
To qualify for use of the Fully-Funded Subset method, the Fully Funded
Subset Advisory requires that certain computations be made in order to arrive at
the Fully-Funded Subset and that the accounts for which performance is so
reported meets two tests which are designed to provide assurance that the
Fully-Funded Subset and the resultant rates of return are representative of the
trading program. Eagle has performed these tests for the periods presented.
(a) "Draw-Down" is defined as losses experienced by a program over a
specified period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by
the program on a composite basis in any calendar month expressed as a percentage
of the total equity in the program and includes the month and year of such
draw-down.
(c) "Largest Peak-to-Valley Draw-Down" is the greatest cumulative
percentage decline in month end net asset value (regardless of whether it is
continuous) due to losses sustained by the trading program during a period in
which the initial composite month-end net asset value of such draw-down is not
equaled or exceeded by a subsequent months composite ending net asset value. The
months and year(s) of such decline from the initial month end net asset value to
the lowest month-end net asset value are indicated.
For purposes of the Largest Peak-to-Valley draw-down calculation, any
draw-down which began prior to the beginning of the five most recent calendar
year period is deemed to have occurred during such five calendar year period.
(d) "Annual (or Period) Rate of Return" is calculated by compounding the
Monthly ROR (as described below) over the months in a given year, i.e., each
Monthly ROR, in hundredths, is added to one (1) and the result is multiplied by
the subsequent Monthly ROR similarly expressed. One is then subtracted from the
product and the result is multiplied by one hundred (100). The Compound Average
Annual Rate of Return is similarly calculated except that before subtracting one
(1) from the product, the product is exponentially changed by the factor of one
(1) divided by the number of years in the performance summary and then one (1)
is subtracted. The Compound Average Annual Rate of Return appears on Tables A-1
and A-2.
Monthly rate of return ("Monthly ROR") for each month is calculated by
dividing net performance of the Fully-Funded Subset by the beginning equity of
the Fully Funded Subset, except in periods of significant additions or
withdrawals to the accounts in the Fully-Funded Subset. In such instances, the
Fully Funded Subset is adjusted to exclude accounts with significant additions
or withdrawals which would materially distort the rate of return pursuant to the
Fully Funded Subset method.
During the months of August and September 1995, the Eagle-Global Program
did not qualify for the use of the Fully-Funded Subset Method. The rates of
return based upon the accounts' actual account sizes were (14.29%) and 17.74%
for August 1995 and September 1995, respectively.
22
<PAGE> 23
TABLE B-1
EAGLE TRADING SYSTEMS INC.
ACTUAL AND PRO FORMA PERFORMANCE
EAGLE GLOBAL SYSTEM
OCTOBER 1995 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
----------------------------------------------------
ACTUAL
PERFORMANCE(I) PRO FORMA PERFORMANCE(II)
-------------- ----------------------------------
1999 1998 1997 1996 1995
-------------- ----- ------ ------ -----
<S> <C> <C> <C> <C> <C>
January.................................... (0.22) 8.33 4.94 8.85 --
February................................... 1.13 (0.40) 5.52 (13.60) --
March...................................... (0.26) 3.59 (12.41) (1.45) --
April...................................... 1.16 (1.23) 1.23 5.64 --
May........................................ (1.76) 10.58 (4.47) (10.49) --
June....................................... (0.05) (2.24) 0.92 1.33 --
July....................................... -- (5.25) 17.24 (13.60) --
August..................................... -- 18.74 (5.78) 5.07 --
September.................................. -- 5.28 10.59 18.34 --
October.................................... -- (2.27) (5.90) 28.47 0.54
November................................... -- 1.00 0.56 7.97 2.33
December................................... -- 0.73 7.52 (8.20) (2.49)
- -------------------------------------------------------------------------------------------------
Annual (or Period) Rate of Return.......... (0.03%) 40.55% 17.65% 21.48% 0.32%
- -------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (10/95 -- 6/30/99) 20.54%
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Largest Monthly Draw-Down:
Past Five Years and Year to Date Period 13.60% (7/96)
For the Period February 1999 through June 1999 1.76% (5/99)
Largest Peak-to-Valley Draw-Down:
Past Five Years and Year to Date Period 29.51% (2/96 -- 7/96)
For the Period February 1999 through June 1999 1.81% (5/99 -- 6/99)*
</TABLE>
- ---------------
Notes appear at Page 36
(i) Represents the actual performance of this program as traded for the
Partnership for the period February 2, 1999 (inception of trading) through
June 30, 1999
(ii) Represents pro forma performance based upon the advisor's composite
performance. See Notes to Table B
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
23
<PAGE> 24
TABLE B-2
EAGLE TRADING SYSTEMS INC.
ACTUAL AND PRO FORMA PERFORMANCE
EAGLE FX SYSTEM
JANUARY 1, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
--------------------------------------------------------------
ACTUAL
PERFORMANCE(I) PRO FORMA PERFORMANCE(II)
-------------- --------------------------------------------
1999 1998 1997 1996 1995 1994
-------------- ------ ----- ----- ------ ------
<S> <C> <C> <C> <C> <C> <C>
January............................. (2.73) (2.97) 8.98 10.97 (0.71) (11.65)
February............................ 4.98 (0.26) 10.86 (5.11) 16.65 (8.77)
March............................... 0.21 (1.65) (1.02) 13.29 19.94 2.68
April............................... 3.92 (13.14) 4.06 5.73 2.12 1.21
May................................. (5.18) 2.50 (0.38) (4.12) (13.55) (4.65)
June................................ (6.64) (5.24) (1.09) (1.59) (1.75) 13.72
July................................ -- (0.78) 14.63 (3.74) (2.19) 4.77
August.............................. -- 1.30 (2.56) (0.85) 1.34 (18.97)
September........................... -- 0.39 (1.96) 13.44 (1.02) 1.12
October............................. -- (3.71) (2.21) 6.27 (0.33) 12.19
November............................ -- (2.55) (0.84) 2.93 (2.55) (13.98)
December............................ -- (2.54) 0.90 2.35 (9.66) 1.02
- ----------------------------------------------------------------------------------------------------
Annual (or Period) Rate of Return... (5.86%) (25.90%) 31.37% 44.25% 3.73% (23.99%)
- ----------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/1/94 -- 6/30/99) 0.76%
- ----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Largest Monthly Draw-Down:
Past Five Years and Year to Date Period 18.97% (8/94)
For the Period February 1999 through June 1999 6.64% (6/99)
Largest Peak-to-Valley Draw-Down:
Past Five Years and Year to Date Period 34.80% (8/97 -- 6/99)*
For the Period February 1999 through June 1999 11.48% (5/99 -- 6/99)*
</TABLE>
- ---------------
Notes appear at Page 36
(i) Represents the actual performance of this program as traded for the
Partnership for the period February 2, 1999 (inception of trading) through
June 30, 1999
(ii) Represents pro forma performance based upon the advisor's composite
performance. See Notes to Table B
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
24
<PAGE> 25
ECKHARDT TRADING COMPANY (PAGE 59)
THE GLOBAL FINANCIAL PROGRAM (PAGE 61)
Based on Eckhardt's current trading systems and market selection, the
Global Financial Program has the following approximate average market exposure:
<TABLE>
<S> <C>
CURRENCIES............................ 32.0%
British pound
Swiss franc
Deutsche mark
Japanese yen
Canadian dollar
Dollar Index
US INTEREST RATES..................... 19%
Treasury Bonds
Five-year Treasury notes
10-year Treasury notes
Eurodollar
EUROPEAN INTEREST RATES............... 29%
German bund
German 2-year
Short sterling
Long gilt
BOBL
Euribor
PACIFIC RIM INTEREST RATES............ 10%
Australian 10-year notes
Australian 3-year notes
Australian 90-day
Euroyen
STOCK MARKET INDICES.................. 10%
NIKKEI
S&P 500
</TABLE>
PAST PERFORMANCE OF ECKHARDT TRADING COMPANY (PAGE 62)
Table A-1 reflects the composite capsule performance results of all client
accounts traded according to the Global Financial Program for the period
November 1997 (inception of trading) through June 30, 1999.
Table A-2 reflects the composite capsule performance results of all
accounts traded according to the Standard Program for the period January 1994
through June 30, 1999.
Table A-3 reflects the composite capsule performance results of the other
trading program directed by Eckhardt for the time periods indicated on the
table.
As discussed earlier, the Global Financial Program employs the same
strategy as the Standard Program but with trading concentrated in financial
futures, stock indices and currencies contracts.
Although not required, the monthly returns for the Standard Program are
presented in Table A-2 in order to indicate the longer history of Eckhardt's
trading methods and the potential volatility associated with this approach.
However, since the two programs trade in different portfolios of markets, it can
be expected that the performance results of the Global Financial Program would
differ from and may be more or less volatile than the performance results of the
Standard Program. Past performance is not indicative of future results.
The tables present performance data on a composite basis. Material
differences exist among the accounts included in the composite tables. Such
differences may be due to several factors including, but not limited to, varying
advisory fees, brokerage commissions, miscellaneous expenses and the size of the
account. In addition, results may vary depending on such factors as the order in
which executed trades are allocated among the various accounts and/or the order
in which trades for the various accounts are entered, the date the account
started trading and the length of time the account was open. As a result of the
many variables, individual account performance may be more or less favorable
than the composite performance set forth in the tables. Eckhardt has modified
and will continue to modify its trading approach. The results shown in the
tables do not necessarily reflect the exact approach that will be used by
Eckhardt on behalf of future accounts. No representation is being made that any
account will, or is likely to, receive profits or incur losses similar to those
shown.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
25
<PAGE> 26
TABLE A-1
ECKHARDT TRADING COMPANY
GLOBAL FINANCIAL PROGRAM
NOVEMBER 1997 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY
RATE OF RETURN
-----------------------
1999 1998 1997
----- ----- -----
<S> <C> <C> <C>
January..................................................... 2.71% 1.39% --
February.................................................... 5.16 2.16 --
March....................................................... (3.76) (2.54) --
April....................................................... (2.02) (5.44) --
May......................................................... (0.37) 2.66 --
June........................................................ 1.60 1.30 --
July........................................................ (2.00) --
August...................................................... 22.88 --
September................................................... 1.62 --
October..................................................... 1.14 --
November.................................................... 0.87 1.19%
December.................................................... 0.86 (6.77)
----- ----- -----
Annual (or Period) Rate of Return........................... 3.10% 25.00% (5.66%)
- -------------------------------------------------------------------------------------
Compound Average Annual Rate of Return(1)
- -------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Inception of Trading by CTA: July 1986
Inception of Trading in Program: November 1997
Number of Open Accounts as of June 30, 1999 8
Aggregate Assets (Excluding "Notional" Equity) in all
Programs: $359,023,838 (6/99)
Aggregate Assets (Including "Notional" Equity) in all
Programs: $394,100,260 (6/99)
Aggregate Assets (Excluding "Notional" Equity) in Program: $65,559,561 (6/99)
Aggregate Assets (Including "Notional" Equity) in Program: $73,677,353 (6/99)
Largest Monthly Draw-Down: 6.8% (12/97)
Largest Peak-to-Valley Draw-Down: 11.3% (12/97-4/98)
------------- ------------
</TABLE>
- ---------------
Notes follow Table A-3
(1) A Compound Average Annual Rate of Return is not included due to the short
trading history of this program.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
26
<PAGE> 27
TABLE A-2
ECKHARDT TRADING COMPANY
STANDARD TRADING PROGRAM
JANUARY 1, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
----------------------------------------------------
1999 1998 1997 1996 1995 1994
----- ----- ----- ----- ------ ------
<S> <C> <C> <C> <C> <C> <C>
January.................................. 1.49 4.77 12.66 8.72 (1.39) (18.30)
February................................. 5.12 2.48 6.91 (5.40) 8.85 (0.70)
March.................................... (6.18) (3.20) 6.60 2.60 14.13 10.58
April.................................... (2.59) (5.17) 1.24 17.48 3.21 2.17
May...................................... (2.43) 1.89 1.89 (9.28) 20.13 5.05
June..................................... 1.43 1.57 5.39 (3.32) (1.32) 1.66
July..................................... (1.59) 9.18 (4.28) (10.31) (0.10)
August................................... 25.28 (4.11) (1.20) (3.27) (8.59)
September................................ 0.18 6.51 17.55 (2.80) 13.36
October.................................. 0.39 (0.41) 16.24 (5.58) (10.50)
November................................. (0.15) (3.54) 11.43 9.24 8.74
December................................. 0.65 (2.35) (5.51) 13.01 (10.45)
----- ----- ----- ----- ------ ------
Annual (or Period) Rate of Return........ (3.51%) 27.10% 45.99% 47.95% 47.33% (11.68%)
- -----------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/94 -- 6/30/99) 25.23%
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Inception of Trading by CTA: July 1986
Inception of Trading in Program: August 1991
Number of Open Accounts as of June 30, 1999 10
Aggregate Assets (Excluding "Notional" Equity) in all
Programs: $359,023,838 (6/99)
Aggregate Assets (Including "Notional" Equity) in all
Programs: $394,100,260 (6/99)
Aggregate Assets (Excluding "Notional" Equity) in Program: $280,862,296 (6/99)
Aggregate Assets (Including "Notional" Equity) in Program: $299,072,504 (6/99)
Largest Monthly Draw-Down: 24.7% (1/94)
Largest Peak-to-Valley Draw-Down: 25.5% (1/94-2/94)
</TABLE>
- ---------------
Notes follow Table A-3
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
27
<PAGE> 28
TABLE A-3
OTHER TRADING PROGRAMS DIRECTED BY ECKHARDT TRADING COMPANY
FOR THE PERIOD JANUARY 1, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
AGGREGATE ASSETS AGGREGATE ASSETS
INCEPTION NUMBER IN PROGRAM IN PROGRAM LARGEST
OF OF JUNE, 1999 JUNE, 1999 LARGEST PEAK-TO-
TRADING OPEN (EXCLUDING (INCLUDING MONTHLY VALLEY
NAME OF PROGRAM PROGRAM ACCOUNTS NOTIONAL) NOTIONAL) DRAW-DOWN DRAW-DOWN
--------------- --------- -------- ---------------- ---------------- ------------- ------------------
<S> <C> <C> <C> <C> <C> <C>
Higher Leverage Program........... Oct-91 8 $12,601,981 $21,350,403 30.0% (1/94) 38.0% (6/95-10/95)
<CAPTION>
PERCENTAGE RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
---------------------------------------------------
NAME OF PROGRAM 1999 1998 1997 1996 1995 1994
--------------- ---------- ----- ----- ----- ----- ------
<S> <C> <C> <C> <C> <C> <C>
Higher Leverage Program........... (2.93) 35.82 61.48 67.60 63.44 (17.93)
(6 months)
</TABLE>
- ---------------
Notes follow Table
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
28
<PAGE> 29
ECKHARDT TRADING COMPANY
NOTES TO TABLES A-1, A-2 AND A-3
In the preceding performance summary, Eckhardt has adopted a method of
computing rate of return and performance disclosure, referred to as the
"Fully-Funded Subset" method, pursuant to an Advisory (the "Fully Funded Subset
Advisory") published by the Commodity Futures Trading Commission. The Fully
Funded Subset refers to that subset of accounts included in the applicable
composite which is funded entirely by actual funds (as defined in the Advisory).
To qualify for use of the Fully-Funded Subset method, the Fully-Funded
Subset Advisory requires that certain computations be made in order to arrive at
the Fully-Funded Subset and that the accounts for which performance is so
reported meets two tests which are designed to provide assurance that the
Fully-Funded Subset and the resultant rates of return are representative of the
trading program. Eckhardt has performed these tests for periods subsequent to
July 1996 (Standard Program), August 1996 (Higher Leveraged Program) and
February 1998 (Global Financial Program). However, for periods prior to the
aforementioned dates, the Fully-Funded Subset method was not used for the
Standard and Higher Leveraged Programs since accounts included generally in
those programs did not contain notional equity. Accordingly, rates of return for
those periods have been calculated in accordance with the time-weighting method
as described in note (d).
For the Global Financial Program, which commenced trading in November 1997,
rates of return were calculated based upon the accounts' nominal account sizes
since there were no fully funded accounts traded in this program before March
1998. Nominal account size is the dollar amount that an advisor and its customer
have agreed will represent the trading level of the account regardless of the
amount of actual funds in the account. If during the first 12 months of a
program's performance history the only accounts under management are those that
include notional equity, such accounts may be used to calculate the composite
monthly returns until a Fully-Funded account is brought under management.
(a) "Draw-Down" is defined as losses experienced by a program over a
specified period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by
any account in the program in any calendar month expressed as a percentage of
the beginning equity or beginning net asset value in the account and includes
the month and year of such draw-down.
(c) "Largest Peak-to-Valley Draw-Down" is the greatest cumulative
percentage decline in month-end net asset value of any individual account
(regardless of whether it is continuous) due to losses sustained by any account
in the trading program during a period in which the initial month-end net asset
value of such account has not been equaled or exceeded by a subsequent month-end
net asset value. The months and year(s) of such decline from the initial
month-end net asset value to the lowest month-end net asset value are indicated.
For purposes of the Largest Peak-to-Valley draw-down calculation, any
draw-down which began prior to the beginning of the five most recent calendar
year period is deemed to have occurred during such five calendar year period.
(d) "Annual (or Period) Rate of Return" is calculated by compounding the
Monthly ROR (as described below) over the months in a given year, i.e., each
Monthly ROR, in hundredths, is added to one (1) and the result is multiplied by
the subsequent Monthly ROR similarly expressed. One is then subtracted from the
product and the result is multiplied by one hundred (100). The Compound Average
Annual Rate of Return is similarly calculated except that before subtracting one
(1) from the product, the product is exponentially changed by the factor of one
(1) divided by the number of years in the performance summary and then one (1)
is subtracted. The Compound Average Annual Rate of Return appears on Table A-2.
Table A-1 does not include a Compound Average Annual Rate of Return due to the
short trading history of the Global Financial Program.
Monthly rate of return ("Monthly ROR") for each month is calculated by
dividing net performance of the Fully-Funded Subset by the beginning equity of
the Fully-Funded Subset, except in periods of significant additions or
withdrawals to the accounts (including the opening or closing of an account) in
the Fully-Funded
29
<PAGE> 30
Subset. In such instances, the Fully-Funded Subset is adjusted to exclude
accounts with significant additions or withdrawals which would materially
distort the rate of return pursuant to the Fully-Funded Subset method.
Monthly ROR for each period prior to July 1996 (Standard Program), August
1996 (Higher Leveraged Program) and March 1998 (Global Financial Program) is
calculated by dividing net performance by beginning equity plus time-weighted
additions minus time-weighted withdrawals, i.e., additions and withdrawals are
multiplied by a fraction, the numerator of which is the number of days in the
month during which such sums were included in or excluded from the amount
available for trading, and the denominator of which is the number of calendar
days in such month. For certain months, another more representative CFTC method
of calculating rate of return was used.
30
<PAGE> 31
TABLE B-1
ECKHARDT TRADING COMPANY
ACTUAL AND PRO FORMA PERFORMANCE
GLOBAL FINANCIAL PROGRAM
NOVEMBER 1997 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
-----------------------------------
ACTUAL PRO FORMA
PERFORMANCE(I) PERFORMANCE (II)
--------------- ----------------
1999 1998 1997
--------------- ------ ------
<S> <C> <C> <C>
January..................................................... 2.28 0.23 --
February.................................................... 0.79 1.69 --
March....................................................... (5.57) (3.23) --
April....................................................... (2.84) (5.89) --
May......................................................... (0.81) 2.46 --
June........................................................ 1.16 0.80 --
July........................................................ -- (2.50) --
August...................................................... -- 24.14 --
September................................................... -- 1.28 --
October..................................................... -- 0.46 --
November.................................................... -- 0.34 1.04
December.................................................... -- 0.15 (7.61)
----- ----- -----
Annual (or Period) Rate of Return........................... (5.10%) 18.64% (6.65%)
- -------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1)
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Largest Monthly Draw-Down:
Past Five Years and Year to Date Period 7.61% (12/97)
For the Period February 1999 through June 1999 5.57% (3/99)
Largest Peak-to-Valley Draw-Down:
Past Five Years and Year to Date Period 14.24% (12/97 - 4/98)
For the Period February 1999 through June 1999 8.99% (3/99 - 5/99)*
</TABLE>
(i) Represents the actual performance of this program as traded for the
Partnership for the period February 2, 1999 (inception of trading) through
June 30, 1999
(ii) Represents pro forma performance based upon the advisor's composite
performance See Notes to Table B
- ---------------
Notes appear at Page 36
(1) A Compound Average Rate of Return is not included due to the short trading
history of this program.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
31
<PAGE> 32
RABAR MARKET RESEARCH, INC. (PAGE 69)
THE TRADING PROGRAM (PAGE 70)
Markets Traded
Contracts now traded by Rabar include, but are not necessarily limited to,
futures contracts on currencies, U.S. and non-U.S. financial instruments,
precious and base metals, U.S. and non-U.S. stock indices, energy products,
grains, and soft commodities.
Based on the current portfolio, the weighting of markets traded by sector
for Rabar is approximately as follows:
<TABLE>
<S> <C> <C>
INTEREST RATES............................................ 30%
US........................................................ 7%
Non-US.................................................... 23%
CURRENCIES................................................ 25%
Major currencies.......................................... 10%
Minor currencies.......................................... 4%
Exotic currencies......................................... 5%
Cross rates............................................... 6%
STOCK MARKET INDICES...................................... 14%
US........................................................ 4%
Non-US.................................................... 10%
AGRICULTURAL PRODUCTS..................................... 14%
Grains/oilseeds........................................... 8%
Softs..................................................... 5%
Livestock................................................. 1%
ENERGY COMPLEX............................................ 8%
Crude oil................................................. 2%
Energy products........................................... 6%
METALS.................................................... 9%
Base metals............................................... 6%
Precious metals........................................... 3%
</TABLE>
Description of the Trading Program (page 71)
Rabar employs a team of professionals working full time on research related
matters.
PAST PERFORMANCE OF RABAR MARKET RESEARCH, INC.
Table A-1 reflects the composite capsule performance results of all
accounts traded according to the Diversified Program for the period January 1994
through June 30, 1999.
32
<PAGE> 33
TABLE A-1
RABAR MARKET RESEARCH, INC.
DIVERSIFIED PROGRAM
JANUARY 1, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
---------------------------------------------------
1999 1998 1997 1996 1995 1994
----- ----- ----- ----- ----- ------
<S> <C> <C> <C> <C> <C> <C>
January................................... (2.03) 2.23 5.48 (0.07) (9.67) (10.78)
February.................................. 3.75 1.51 5.13 (9.55) 14.28 (6.21)
March..................................... (4.40) (0.00) (0.66) (1.51) 15.61 19.66
April..................................... 3.24 (6.49) (6.38) 3.27 6.04 2.43
May....................................... (7.03) 4.29 (2.07) (3.50) 9.04 11.72
June...................................... 0.00 2.17 (0.08) 1.56 (2.55) 18.36
July...................................... 1.17 14.83 (2.11) (9.37) (4.65)
August.................................... 20.95 (7.78) (1.33) (8.57) (4.55)
September................................. 6.25 3.01 3.78 (9.24) 3.33
October................................... (4.14) (3.34) 10.90 (4.47) (4.42)
November.................................. (3.85) 0.51 5.95 2.53 11.13
December.................................. 1.59 4.28 (5.30) 14.35 (1.36)
- -----------------------------------------------------------------------------------------------
Annual (or Period) Rate of Return......... (6.73%) 25.87% 11.53% 0.49% 13.27% 33.63%
- -----------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/94 -- 6/30/99) 13.34%
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Inception of Client Trading by CTA: January 1989
Inception of Client Trading in Program: January 1989
Number of Open Accounts as of June 30, 1999 22
Aggregate Assets (Excluding "Notional" Equity) in all
Programs: $194,294,748 (6/99)
Aggregate Assets (Including "Notional" Equity) in all
Programs: $216,561,412 (6/99)
Aggregate Assets (Excluding "Notional" Equity) in Program: $194,294,748 (6/99)
Aggregate Assets (Including "Notional" Equity) in Program: $216,561,412 (6/99)
Largest Monthly Draw-Down: 10.78% (1/94)
Largest Peak-to-Valley Draw-Down: 29.99% (6/95 - 10/95)
</TABLE>
- ---------------
Notes follow Table
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
33
<PAGE> 34
RABAR MARKET RESEARCH, INC.
NOTES TO TABLE A-1
In the preceding performance summary, Rabar has adopted a method of
computing rate of return and performance disclosure, referred to as the
"Fully-Funded Subset" method, pursuant to an Advisory (the "Fully Funded Subset
Advisory") published by the Commodity Futures Trading Commission. The Fully-
Funded Subset refers to that subset of accounts included in the applicable
composite which is funded entirely by actual funds (as defined in the Advisory).
To qualify for use of the Fully-Funded Subset method, the Fully Funded
Subset Advisory requires that certain computations be made in order to arrive at
the Fully-Funded Subset and that the accounts for which performance is so
reported meets two tests which are designed to provide assurance that the
Fully-Funded Subset and the resultant rates of return are representative of the
trading program. Rabar has performed these computations for the periods
presented.
(a) "Draw-Down" is defined as losses experienced by a program over a
specified period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by
the program on a composite basis in any calendar month expressed as a percentage
of the total equity in the program and includes the month and year of such
draw-down.
(c) "Largest Peak-to-Valley Draw-Down" is the greatest cumulative
percentage decline in month-end net asset value (regardless of whether it is
continuous) due to losses sustained by the trading program during a period in
which the initial composite month-end net asset value of such draw-down is not
equaled or exceeded by a subsequent months composite ending net asset value. The
months and year(s) of such decline from the initial month-end net asset value to
the lowest month-end net asset value are indicated.
For purposes of the Largest Peak-to-Valley draw-down calculation, any
draw-down which began prior to the beginning of the five most recent calendar
year period is deemed to have occurred during such five calendar year period.
(d) "Annual (or Period) Rate of Return" is calculated by compounding the
Monthly ROR (as described below) over the months in a given year, i.e., each
Monthly ROR, in hundredths, is added to one (1) and the result is multiplied by
the subsequent Monthly ROR similarly expressed. One is then subtracted from the
product and the result is multiplied by one hundred (100). The Compound Average
Annual Rate of Return is similarly calculated except that before subtracting one
(1) from the product, the product is exponentially changed by the factor of one
(1) divided by the number of years in the performance summary and then one (1)
is subtracted. The Compound Average Annual Rate of Return appears on Table A-1.
Monthly rate of return ("Monthly ROR") for each month is calculated by
dividing net performance of the Fully-Funded Subset by the beginning equity of
the Fully-Funded Subset, except in periods of significant additions or
withdrawals to the accounts in the Fully-Funded Subset. In such instances, the
Fully-Funded Subset is adjusted to exclude accounts with significant additions
or withdrawals which would materially distort the rate of return pursuant to the
Fully Funded Subset method.
34
<PAGE> 35
TABLE B-1
RABAR MARKET RESEARCH, INC.
PRO FORMA PERFORMANCE
DIVERSIFIED TRADING PROGRAM
JANUARY 1, 1994 THROUGH JUNE 30, 1999
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
-------------------------------------------------------------
ACTUAL
PERFORMANCE(I) PRO FORMA PERFORMANCE(II)
-------------- -------------------------------------------
1999 1998 1997 1996 1995 1994
-------------- ----- ----- ----- ------ ------
<S> <C> <C> <C> <C> <C> <C>
January........................... (2.00) 1.90 5.17 (0.18) (10.14) (10.45)
February.......................... 2.39 1.29 4.32 (9.67) 14.40 (5.80)
March............................. (3.27) 0.05 (0.59) (1.63) 15.77 19.79
April............................. 2.84 (6.01) (5.88) 3.27 6.15 2.52
May............................... (6.48) 4.10 (2.28) (3.60) 9.06 11.50
June.............................. (0.20) 1.90 (0.12) 1.40 (2.49) 18.12
July.............................. -- 0.98 13.42 (2.24) (7.64) (3.88)
August............................ -- 18.80 (7.13) (1.39) (6.89) (3.58)
September......................... -- 5.98 2.79 3.59 (7.38) 2.91
October........................... -- (3.72) (3.19) 10.76 (4.86) (3.30)
November.......................... -- (3.25) 0.38 5.64 2.53 9.02
December.......................... -- 1.37 3.99 (5.00) 12.24 (0.97)
- -------------------------------------------------------------------------------------------------
Annual (or Period) Rate of
Return.......................... (6.84%) 23.61% 9.62% (0.61%) 17.16% 35.86%
- -------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/1/94 -- 6/30/99) 13.40%
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Largest Monthly Draw-Down:
Past Five Years and Year to Date Period 10.45% (1/94)
For the Period February 1999 through June 1999 6.48% (5/99)
Largest Peak-to-Valley Draw-Down:
Past Five Years and Year to Date Period 26.60% (6/95 -- 8/96)
For the Period February 1999 through June 1999 7.16% (3/99 -- 6/99)*
</TABLE>
- ---------------
Notes appear at Page 36
(i) Represents the actual performance of this program as traded for the
Partnership for the period February 2, 1999 (inception of trading) through
June 30, 1999.
(ii) Represents pro forma performance based upon the advisor's composite
performance See Notes to Table B.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
35
<PAGE> 36
NOTES TO TABLES B-1 AND B-2 FOR ALL ADVISORS
Table B-1 and, where applicable, Table B-2 (collectively "Tables B") were
prepared by the General Partner and present the results of applying certain
arithmetical calculations to various figures in each Advisor's composite
performance record for the program or portfolio which will be traded for the
Partnership in order to indicate approximately what the month-to-month effect on
such figures would have been had the accounts in question been charged the
brokerage, management, incentive fees and other expenses which will be paid by
the Partnership, as opposed to the brokerage commissions and management,
incentive fees and other expenses which they did in fact pay, and received
interest income on 80% of account equity. Adjustments for pro forma other
expenses and initial and continuous offering expenses were made to each of the
Tables B based upon an assumed average partnership size of $55 million.
Performance beginning with February 1999 (inception of Partnership trading) is
based upon the actual trading results of each respective Advisor's program as
traded for the Partnership. The pro forma calculations are made on a
month-to-month basis, i.e., the pro forma adjustment to brokerage commissions,
management and incentive fees, other expenses and interest income in one month
does not affect the actual figures which are used in the following month for
making the similar pro forma calculations for that period, except for pro forma
incentive fees as described in Note 4. Accordingly, the Pro Forma Tables do not
reflect on a cumulative basis the effect of the difference between the Fees to
be charged to and interest earned by the Partnership and the Fees and
Commissions charged to and interest earned by the accounts in the Actual
Performance Tables.
1. Pro forma brokerage fees for each month have been calculated by adding
the sum of (a) actual ending equity, actual management and incentive
fees, actual brokerage commissions, actual other expenses and pro forma
interest income minus actual interest income (the "Base Amount"), and
(b) multiplying the result by 9/20 of 1% (an annual rate of 5.4%), plus
estimated NFA, exchange, "give-up" and floor brokerage fees.
2. Pro forma management fees for each month have been calculated by taking
the Base Amount, subtracting pro forma brokerage fees and pro forma
other expenses and multiplying the result by 1/6 of 1% for all Advisors,
except for Eagle, whose management fee has been further reduced by its
pro rata share of customary and routine administrative expenses.
3. Pro forma other expenses have been calculated by taking the Base Amount,
subtracting pro forma brokerage fees and pro forma management fees and
multiplying the result by 1/12 of .36%. In addition, an adjustment was
made for the expenses of the Initial Offering Period in accordance with
the terms set forth in this Prospectus.
4. Pro forma incentive fees have been calculated by: (a) adding to the
actual net performance, actual management and incentive fees, actual
brokerage commissions and actual other expenses, (b) subtracting actual
interest income, pro forma brokerage fees, pro forma management fees and
pro forma other expenses, and (c) multiplying the resulting figure by
20% for all Advisors except Eagle, which has been calculated using 23%.
Pro forma incentive fees were calculated on a monthly basis (in
accordance with generally accepted accounting principles) and as to
reflect the reversal of previously accrued incentive fees when profits
sufficient to generate incentive fees are recognized as of the end of an
interim month in a year but lost in a subsequent month in such year. In
the case where there is cumulative negative net performance, which must
be reversed before an incentive fee becomes payable, and there are net
withdrawals, the cumulative negative net performance amount has been
proportionately reduced. For purposes of calculating the pro forma
incentive fees, an assumption was made that the payments of such fees,
if any, were made at the end of each calendar year end.
5. Pro forma interest income has been calculated by: (a) adding actual
beginning equity to the sum of: actual ending equity, actual management
and incentive fees, actual brokerage commissions and actual other
expenses, (b) subtracting actual interest income, (c) dividing this sum
by two, (d) multiplying by 80% and (e) then multiplying the result by
the monthly historical 30-day Treasury bill rate. For purposes of the
calculation of pro forma interest income, Partnership interest was
estimated using historical 30-day Treasury bill rates of the time period
presented on Tables B. Such rates may be higher than current 30-day
Treasury bill rates that will be used to calculate Partnership interest
36
<PAGE> 37
income. The application of historical rates may compare more closely to
the interest income reflected in the Advisors' performance tables which
was most likely earned at the then prevailing interest rates of a
particular time period.
6. Percentage monthly rate of return ("Monthly ROR") for the period January
1994 through January 1999 equals pro forma net performance divided by
the actual beginning equity (from the historical performance tables) or
equity adjusted for material additions and withdrawals, where
applicable. Performance beginning with February 1999 (inception of
Partnership trading) is based upon the actual trading results of each
respective Advisor's program as traded for the Partnership.
7. Annual (or period) rate of return equals the Monthly ROR compounded over
the number of periods in a given year, i.e. each Monthly ROR in
hundredths is added to one (1) and the result is multiplied by the
previous period's Monthly ROR similarly expressed. One is then
subtracted from the product. The Compound Average Annual Rate of Return
for the entire period presented is similarly calculated except that
before subtracting one (1) from the product, the product is
exponentially changed by the factor of one (1) divided by the number of
years in the period presented and then one (1) is subtracted. The
compound average annual rate of return for the entire period appears as
the last entry in the column for programs selected to trade on behalf of
the Partnership.
8. "Largest Monthly Draw-Down" is the largest monthly loss experienced by
the program on a composite basis in any calendar month expressed as a
percentage of the total equity in the program and includes the month and
year of such draw-down. The largest monthly draw-down has been disclosed
for the entire period presented and for the period February 1999
(inception of Partnership trading) through June 30, 1999.
9. "Largest Peak-to-Valley Draw-Down" is the greatest cumulative percentage
decline in month end net asset value (regardless of whether it is
continuous) due to losses sustained by the trading program during a
period in which the initial composite month-end net asset value of such
peak-to-valley draw-down is not equaled or exceeded by a subsequent
month's composite ending net asset value. The months and year(s) of such
decline from the initial month-end net asset value to the lowest month-
end net asset value of such decline are indicated. The largest
peak-to-valley draw-down has been disclosed for the entire period
presented and for the period February 1999 (inception of Partnership
trading) through June 30, 1999.
In the case where the program is in a current draw-down, the month of
the lowest net asset value of such draw-down is disclosed followed by an
asterisk (*).
THE COMMODITY BROKER/DEALER (PAGE 80)
LITIGATION. (page 82) There have been no administrative, civil or criminal
actions pending, on appeal or concluded against SSB or any of its individual
principals within the past five years that are material to a decision whether to
invest in the Partnership, except as follows.
In the Harris Trust case, oral argument of the appeal was held on November
30, 1998, and a decision was rendered in July 1999 reversing the denial of the
summary judgment.
In the course of its business, SSB, as a major futures commission merchant
and broker-dealer is a party to various claims and routine regulatory
investigations and proceedings which the General Partner believes do not have a
material effect on the business of SSB.
INCOME TAX ASPECTS (PAGE 84)
LIMITATIONS ON DEDUCTIONS (PAGE 85)
(5) Miscellaneous Itemized Deductions:
The "threshold" amount under Section 68 of the Code for 1999 is $126,600
($63,300 for married persons filing separately).
37
<PAGE> 38
TABLE C
HYPOTHETICAL COMPOSITE ADJUSTED PERFORMANCE RECORD
FOR THE PERIOD NOVEMBER 1997 THROUGH JANUARY 31, 1999
<TABLE>
<CAPTION>
HYPOTHETICAL COMPOSITE
COMPOSITE OF COMPOUND WEIGHTED AVERAGE
ACTUAL MONTHLY HYPOTHETICAL ANNUAL PRO FORMA HYPOTHETICAL
PERIOD ENDING RATE OF RETURN $1,000 UNIT RATE OF RETURN RATE OF RETURN $1,000 UNIT
- ------------- -------------- -------------- -------------- ---------------------- ------------
<S> <C> <C> <C> <C> <C>
1997 $1,000 $1,000
November........................... 0.60% 1,006 0.31% 1,003
December........................... 3.88 1,045 4.50% 3.22 1,035
1998
January............................ 3.10 1,078 2.63 1,063
February........................... (0.19) 1,075 (0.56) 1,057
March.............................. 2.08 1,098 1.79 1,076
April.............................. (5.70) 1,035 (5.55) 1,016
May................................ 5.16 1,089 4.83 1,065
June............................... 1.09 1,101 0.60 1,071
July............................... (2.14) 1,077 (2.17) 1,048
August............................. 15.76 1,247 14.56 1,201
September.......................... 4.43 1,302 3.99 1,249
October............................ (0.40) 1,297 (0.48) 1,243
November........................... (1.27) 1,280 (1.39) 1,226
December........................... 1.01 1,293 23.74% 0.61 1,233
1999
January............................ (2.26) 1,264 (2.56) 1,202
<CAPTION>
HYPOTHETICAL
COMPOUND
ANNUAL
PERIOD ENDING RATE OF RETURN
- ------------- --------------
<S> <C>
1997
November...........................
December........................... 3.54%
1998
January............................
February...........................
March..............................
April..............................
May................................
June...............................
July...............................
August.............................
September..........................
October............................
November...........................
December........................... 19.07%
1999
January............................
</TABLE>
Partnership trading commenced February 2, 1999.
Partnership performance appears on page 5.
- ---------------
Notes follow Table
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
38
<PAGE> 39
NOTES TO TABLE C
The Compound Annual Rate of Return and the Hypothetical Compound Annual
Rate of Return for each year is calculated by applying on a compound basis each
of the Composite of Actual Monthly Rates of Return and each of the Hypothetical
Composite Weighted Average Pro Forma Rates of Return for such month, not by
adding or averaging such monthly rates of return. For purposes of this table,
November 1997 was used as the starting month since it was the common date that
all programs (that will be traded for the Partnership) were trading.
The Hypothetical Composite Adjusted Performance Record was prepared by the
General Partner and is a result of (a) making certain pro forma adjustments to
the historical performance records of the five Advisors' programs to be used for
the Partnership in an attempt to approximate the brokerage fees, management
fees, incentive fees, other expenses, and interest income calculated in
accordance with the fee and income structure of the Partnership as opposed to
the corresponding fees, expenses or income actually charged or earned in the
historical performance records (for purposes of the calculation of Partnership
interest income, historical 30-day Treasury bill rates of the time period
presented on Tables B-1 and, where applicable, B-2 were used. Such rates may be
higher than current 30-day Treasury bill rates that will be used to calculate
Partnership interest income. The application of historical rates may compare
more closely to the Advisors' interest income which was most likely earned at
the prevailing interest rates of a particular time period), (b) assuming an
allocation of Partnership assets is made in accordance with the actual
percentage allocations as of June 30, 1999: Campbell - 37%; Eagle - 19%;
Eckhardt - 10%; and Rabar 34%. Eagle's share of Partnership assets is allocated
13% to the Eagle-Global System and 6% to the Eagle-FX System, (c) calculating a
combined weighted average pro forma rate of return, and (d) applying on a
compound basis each of the monthly Hypothetical Composite Weighted Average Pro
Forma Rates of Return to an assumed hypothetical investment of $1,000 made at
the beginning of the period. For example, Campbell's initial allotment of $360
to the Financial, Metal and Energy Large Portfolio was multiplied by its Pro
Forma Monthly Rate of Return from Table B-1. In November 1997, Campbell's Pro
Forma Monthly Rate of Return was 0.16% which resulted in an increase of $1 for
the first month and a corresponding increase to its trading allotment to $371.
Next, this process was repeated for each program or portfolio traded by the
Advisors for the Partnership, then added to reach a net asset value as of the
end of the month of $1,003, an increase of 0.31% over the initial $1,000.
Finally, these computations were repeated each month, beginning with last
month's assets allocated to each program or portfolio plus trading profits or
losses. The Composite of Actual Monthly Rates of Return is similarly calculated
using each of the Advisor's actual performance data for the same period. Table C
ends at January 1999, the month before trading commenced.
The Hypothetical Composite Adjusted Performance Record does not reflect how
the Partnership may operate, but is based instead upon estimates and assumptions
considered by the General Partner to be reasonable. Prospective investors must
note, however, that there are other methods by which the Hypothetical Composite
Adjusted Performance Record could have reasonably been calculated. Such
alternative methods may have produced different composite performance results.
Irrespective of the limitations of the pro forma adjustments that have been
made to the Advisors' historical records, any composite of different trading
approaches that have never, in fact, traded an account together is necessarily
artificial and hypothetical in some respects. Such hypothetical presentations
are also subject to the fact that they can be designed with the benefit of
hindsight.
The hypothetical $1,000 unit column represents the net asset value of a
hypothetical unit as of the end of each month.
The Hypothetical Composite Adjusted Performance Record for the period
November 1997 through January 1999 is based on pro forma adjustments to actual
trading results; it contains no simulated performance. However, the table is
nevertheless hypothetical in that no single account has been managed by the
Advisors utilizing all five programs in the same proportions as the
Partnership's assets are currently allocated. CFTC and NFA regulations require
that the following cautionary legend accompany all hypothetical trading records:
THIS COMPOSITE PERFORMANCE RECORD IS HYPOTHETICAL AND THE ADVISORS' TRADING
PROGRAMS HAVE NOT BEEN TRADED TOGETHER IN THE MANNER
39
<PAGE> 40
SHOWN IN THE COMPOSITE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT
LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE
THAT ANY MULTI-PROGRAM MANAGED ACCOUNT OR POOL WILL OR IS LIKELY TO ACHIEVE A
COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE
FREQUENTLY SHARP DIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD
AND THE ACTUAL RECORD SUBSEQUENTLY ACHIEVED.
ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS
THAT DECISIONS RELATING TO THE SELECTION OF TRADING PROGRAMS AND THE ALLOCATION
OF ASSETS AMONG THOSE TRADING PROGRAMS WERE MADE WITH THE BENEFIT OF HINDSIGHT
BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED TRADING PROGRAMS.
THEREFORE, COMPOSITE PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF
RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THE ALLOCATION
DECISIONS REFLECTED IN THE PERFORMANCE RECORD WERE NOT MADE UNDER ACTUAL MARKET
CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL
RISK IN ACTUAL TRADING. FURTHERMORE, THE COMPOSITE PERFORMANCE RECORD MAY BE
DISTORTED BECAUSE THE ALLOCATION OF ASSETS CHANGES FROM TIME TO TIME AND THESE
ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.
The above table must be read in conjunction with the description of the
manner in which the Pro Forma Rates of Return for each program were calculated
set forth under "The Advisor -- Notes to Tables B-1 and B-2 for all Advisors."
The Hypothetical Composite Adjusted Performance Record, for the period November
1997 through January 31, 1999, has been calculated on the basis of Pro Forma
Monthly Rate of Return figures only and Rate of Return may not be an accurate
indication of actual performance due to the effect of additions and withdrawals
and other factors. Investors should be careful to consider the monthly rates of
return and volatility before determining whether to invest. In any event, past
results are no guarantee of future performance and no representation is made
that the Partnership is likely to achieve profits similar to those shown in the
Hypothetical Composite Adjusted Performance Record.
Although the General Partner believes that the Hypothetical Composite
Adjusted Performance Record provides information pertinent to evaluating the
desirability of investing in the Partnership, prospective investors must
carefully consider (a) the manner in which the individual program's Pro Forma
Monthly RORs have been calculated, (b) weighted averages of these Pro Forma
Monthly RORs have been derived for purposes of producing the Hypothetical
Composite Adjusted Performance Record in assessing the importance of either of
the above Tables to such investor's decision whether to purchase Units and (c)
the starting period is used in the table.
40
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SMITH BARNEY FUTURES MANAGEMENT INC.
(A WHOLLY-OWNED SUBSIDIARY OF
SALOMON SMITH BARNEY HOLDINGS INC.)
STATEMENT OF FINANCIAL CONDITION
DECEMBER 31, 1998
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<PAGE> 42
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors and Shareholder of
Smith Barney Futures Management Inc.:
In our opinion, the accompanying statement of financial condition presents
fairly, in all material respects, the financial position of Smith Barney Futures
Management Inc. (the "Company", a wholly owned subsidiary of Salomon Smith
Barney Holdings Inc.) at December 3l, 1998, in conformity with generally
accepted accounting principles. This financial statement is the responsibility
of the Company's management; our responsibility is to express an opinion on this
statement of financial condition based on our audit. We conducted our audit of
this statement in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the statement of financial condition is free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts
and disclosures in the statement of financial condition, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audit provides a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
March 15, 1999
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SMITH BARNEY FUTURES MANAGEMENT INC.
(A WHOLLY-OWNED SUBSIDIARY OF SALOMON SMITH BARNEY HOLDINGS INC.)
STATEMENT OF FINANCIAL CONDITION
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS
Receivable from limited partnerships........................ $ 4,635,696
Receivable from affiliate................................... 6,527,944
Investments in limited partnerships, at equity.............. 11,159,677
Other assets................................................ 47,981
------------
Total Assets................................................ $ 22,371,298
============
LIABILITIES & STOCKHOLDER'S EQUITY
Dividend payable to SSBHI................................... $ 4,000,000
Accounts payable and accrued liabilities.................... 433,593
------------
Total Liabilities........................................... 4,433,593
Common stock, no par value, 3,000 shares authorized, 200
shares issued and outstanding (100 shares, $1 stated
value; 100 shares, no stated value)....................... 100
Additional paid-in capital.................................. 67,413,746
Retained earnings........................................... 8,523,859
------------
75,937,705
Less: Note receivable from SSBHI............................ (58,000,000)
------------
17,937,705
------------
Total Liabilities & Stockholder's Equity.................... $ 22,371,298
============
</TABLE>
The accompanying notes are an integral part of this statement of financial
condition.
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SMITH BARNEY FUTURES MANAGEMENT INC.
(A WHOLLY-OWNED SUBSIDIARY OF
SALOMON SMITH BARNEY HOLDINGS INC.)
NOTES TO STATEMENT OF FINANCIAL CONDITION
1. ORGANIZATION
Smith Barney Futures Management Inc. (the "Company") is a wholly-owned
subsidiary of Salomon Smith Barney Holdings Inc. ("SSBHI"). On October 8, 1998,
Citicorp Inc. merged with and into a newly formed, wholly-owned subsidiary of
Travelers Group Inc. ("Travelers"), the Company's ultimate parent. Following the
merger, Travelers changed its name to Citigroup Inc. ("Citigroup"). On November
28, 1997, Smith Barney Holdings Inc. was merged with Salomon Inc to form SSBHI.
The Company does not believe that its compliance with applicable law as a result
of the Citigroup merger will have a material adverse effect on its ability to
continue to operate the business in which it is presently engaged except, as
more fully disclosed in footnote 8, the Company will no longer be the general
partner of three Limited Partnerships subsequent to March 1, 1999, due to
restrictions imposed resulting from this merger.
The Company was organized and is authorized to act as a general partner for
the management of investment funds and is registered as a commodity pool
operator with the Commodity Futures Trading Commission.
At December 31, 1998, the Company is the general partner for 20 Limited
Partnerships (the "Limited Partnerships") with total assets of $885,267,009,
total liabilities of $21,514,812 and total partners' capital of $863,752,197.
The limited partnerships are organized to engage in the speculative trading of
commodity futures contracts and other commodity interests. The Company's
responsibilities as the general partner are described in the various limited
partnership agreements. The Company has a general partner's liability which is
unlimited (except to the extent it may be limited by the limited partnership
agreement) with respect to the Limited Partnerships.
The Company is also the Trading Manager for 7 offshore funds. As Trading
Manager, the Company will select trading advisors who in the Trading Manager's
opinion, have demonstrated a high degree of skill in trading commodity interest
contracts to manage the assets of the funds. For these services, the Company
receives management fees. The Company does not have an equity investment in
these offshore funds.
2. SIGNIFICANT ACCOUNTING POLICIES
The statement of financial condition is prepared in accordance with
generally accepted accounting principles which requires the use of management's
best judgement and estimates. Estimates may vary from actual results.
The carrying values of financial instruments in the statement of financial
condition approximate their fair values as they are either short-term in nature
or interest-bearing at floating rates.
Investments in Limited Partnerships, at equity, are valued at the Company's
proportionate share of the net asset values as reported by the Limited
Partnerships and approximate fair value. The Limited Partnerships value
positions at the closing market quotations on the last business day of the year.
Under the terms of each of the limited partnership agreements for which it
is a general partner, the Company is solely responsible for managing the
partnership. Other responsibilities are disclosed in each limited partnership
agreement. The Company is required to make a capital contribution to each such
Limited Partnership. The limited partnership agreements generally require the
general partner to maintain a cash investment in the Limited Partnerships equal
to the greater of (i) an amount which will entitle the general partner to an
interest of 1% in each material item of partnership income, gain, loss,
deduction or credit or (ii) the greater of (a) 1% of the aggregate capital
contributions of all partners or (b) a minimum of $25,000. While it is the
general partner thereof, the Company may not reduce its percentage interest in
such Limited Partnerships to less than such required level, as defined in each
limited partnership agreement.
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SMITH BARNEY FUTURES MANAGEMENT INC.
(A WHOLLY-OWNED SUBSIDIARY OF
SALOMON SMITH BARNEY HOLDINGS INC.)
NOTES TO STATEMENT OF FINANCIAL CONDITION -- (CONTINUED)
Consistent with the limited partnership agreements, the Company received an
opinion of counsel that it may maintain its net worth, as defined in the Limited
Partnership agreements (excluding its investment in each such Limited
Partnership), at an amount not less than 5% of the total contributions to the
Limited Partnerships by all partners. SSBHI will contribute such amounts of
additional capital to the Company, all or part of which may be contributed by a
note (see Note 3), so that the Company may maintain its net worth requirement.
This requirement was met at December 31, 1998.
Receivable from Limited Partnerships includes deferred offering costs which
represent payments made by the Company on behalf of certain Limited Partnerships
during their original offering, such as legal fees, printing costs, etc. These
costs are reimbursed by the Limited Partnerships to the Company over a period
varying from eighteen to twenty-four months or as interest income is earned by
the Limited Partnership in accordance with the Limited Partnership's prospectus.
The offering costs reimbursable at December 31, 1998 were $633,659. Repayment of
these costs is not contingent upon the operating results of the Limited
Partnerships. In addition, as general partner, the Company earns monthly
management fees and commissions from the Limited Partnerships as defined by the
limited partnership agreements. Management fees and commissions receivable at
December 31, 1998 were $4,002,037.
3. NOTE RECEIVABLE FROM SSBHI
The note receivable consists of a $58,000,000 demand note dated June 22,
1994 which is non-interest bearing and is included in additional paid-in-capital
as of December 31, 1998. The demand note was issued to the Company by SSBHI.
4. RELATED PARTY TRANSACTIONS
Substantially all transactions of the Company, including the allocation of
certain income and expenses, are with SSBHI, Limited Partnerships of which it is
the general partner, and other affiliates. Receivable from affiliate represents
amounts due from Salomon Smith Barney Inc., a wholly-owned subsidiary of SSBHI,
for interest income, advisory fees, and commissions.
5. INCOME TAXES
Under income tax allocation agreements with SSBHI and Citigroup, the
Company's Federal, state, and local income taxes are provided on a separate
return basis and are subject to utilization of tax attributes in Citigroup's
consolidated income tax returns. Under the tax sharing agreement with SSBHI, the
Company remits taxes to SSBHI. As of December 31, 1998, all taxes have been
remitted to SSBHI.
6. EMPLOYEE BENEFIT PLANS
The Company participates in a noncontributory defined benefit pension plan
with Citigroup which covers substantially all U.S. employees.
The Company, through Citigroup, has a defined contribution employee savings
plan covering substantially all U.S. employees. In addition, the Company has
various incentive plans under which stock of Citigroup is purchased for
subsequent distribution to employees, subject to vesting requirements.
7. STOCKHOLDER'S EQUITY
During the year the Company declared dividends of $8,000,000 (and
distributed $4,000,000) on its outstanding common stock. Other than net income
there were no other changes to stockholder's equity.
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SMITH BARNEY FUTURES MANAGEMENT INC.
(A WHOLLY-OWNED SUBSIDIARY OF
SALOMON SMITH BARNEY HOLDINGS INC.)
NOTES TO STATEMENT OF FINANCIAL CONDITION -- (CONTINUED)
8. SUBSEQUENT EVENTS
As of March 1, 1999, SFG Global Investments, Inc. will become the general
partner of Smith Barney Telesis Futures Fund L.P., Smith Barney Potomac Futures
Fund L.P., and Smith Barney Tidewater Futures Fund L.P. The Company will act as
Trading Manager of these funds. The Company intends to keep 1% interest in these
funds as a Limited Partner.
46
